Semi-parametric modeling of excesses above high multivariate thresholds with censored data

DOI10.1016/j.jmva.2015.01.014zbMath1308.62105arXiv1412.0838OpenAlexW1978604794MaRDI QIDQ2018601

Anne Sabourin

Publication date: 24 March 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.0838

zbMATH Keywords

multivariate extremescensored datadata augmentationMCMC algorithmssemiparametric Bayesian inference

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Censored data models (62N01) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Estimation in survival analysis and censored data (62N02)

Uses Software

• ismev

Cites Work

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