Regression models for change point data in extremes

DOI10.1214/20-BJPS488zbMath1471.62516OpenAlexW3120466299MaRDI QIDQ2233641

Fernando Ferraz do Nascimento, Alan da Silva Assunção

Publication date: 11 October 2021

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/20-bjps488

zbMATH Keywords

change pointsBayesian approachextreme eventsregression structureriver quota

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32)

Uses Software

• ismev

Cites Work

• Unnamed Item
• Unnamed Item
• Dirichlet process hidden Markov multiple change-point model
• A default Bayesian procedure for the generalized Pareto distribution
• Estimation and comparison of multiple change-point models
• Detecting change-points in extremes
• A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data
• A Bayesian Analysis for Change Point Problems
• Hierarchical Bayesian Analysis of Changepoint Problems
• Bayesian Retrospective Multiple-Changepoint Identification
• A Bayesian model for multiple change point to extremes, with application to environmental and financial data
• Generalized Additive Modelling of Sample Extremes
• An introduction to statistical modeling of extreme values