Bayesian inference for multivariate extreme value distributions

DOI10.1214/17-EJS1367zbMath1383.62061arXiv1611.05602OpenAlexW2963245955MaRDI QIDQ1684166

Clément Dombry, Marco Oesting, Sebastian Engelke

Publication date: 8 December 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.05602

zbMATH Keywords

asymptotic normalitymultivariate extremesMarkov chain Monte CarloBayesian statisticsfull likelihoodefficient inferenceMAX-stability

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (7)

Consistency of Bayesian inference for multivariate max-stable distributions ⋮ Stochastic derivative estimation for max-stable random fields ⋮ Strong convergence of multivariate maxima ⋮ ABC model selection for spatial extremes models applied to south Australian maximum temperature data ⋮ Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes ⋮ Regression-type analysis for multivariate extreme values ⋮ A Hierarchical Max-Infinitely Divisible Spatial Model for Extreme Precipitation

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