Bayesian inference for extremes: accounting for the three extremal types

DOI10.1007/s10687-004-3479-6zbMath1090.62025OpenAlexW2029102876MaRDI QIDQ2488461

Alec G. Stephenson, Jonathan A. Tawn

Publication date: 24 May 2006

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-004-3479-6

zbMATH Keywords

Markov chain Monte Carlogeneralized Pareto distributionnon-homogeneous Poisson point process

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (10)

Consistency of Bayesian inference for multivariate max-stable distributions ⋮ Bayesian estimation of the tail index of a heavy tailed distribution under random censoring ⋮ Software for the analysis of extreme events: The current state and future directions ⋮ On posterior consistency of tail index for Bayesian kernel mixture models ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ A software review for extreme value analysis ⋮ Full Bayesian significance test for extremal distributions ⋮ A full Bayesian approach to generalized maximum likelihood estimation of generalized extreme value distribution ⋮ Bayesian inference for clustered extremes ⋮ Modeling non-stationary extreme waves using a point process approach and wavelets

Uses Software

• ismev

Cites Work

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