Time-varying extreme pattern with dynamic models

DOI10.1007/s11749-015-0444-4zbMath1336.62099OpenAlexW240718041MaRDI QIDQ285844

Dani Gamerman, Fernando Ferraz do Nascimento, Hedibert Freitas Lopes

Publication date: 19 May 2016

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-015-0444-4

zbMATH Keywords

nonparametricBayesianMCMCGPD

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

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