Bayesian inference for generalized extreme value distributions via Hamiltonian Monte Carlo

DOI10.1080/03610918.2016.1152365zbMath1380.62112arXiv1410.4534OpenAlexW3098348269MaRDI QIDQ4593854

Marcelo Hartmann, Ricardo S. Ehlers

Publication date: 15 November 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.4534

zbMATH Keywords

Markov chain Monte Carloextreme valueBayesian approachHamiltonian Monte CarloRiemann manifold

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)

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