Bayesian Methods in Extreme Value Modelling: A Review and New Developments

DOI10.2307/1403426zbMath0853.62025OpenAlexW2036501130MaRDI QIDQ4891284

Elwyn A. Powell, Stuart G. Coles

Publication date: 3 September 1996

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1403426

zbMATH Keywords

empirical Bayesextreme value analysisMarkov chain Monte Carlomaximum likelihoodGibbs samplerprior informationprior elicitationexpertreliability modelsspatial informationspatial modellingcomputational toolswind speed modellingprior choiceempirical prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items

Bayesian inference for extreme quantiles of heavy tailed distributions ⋮ Assessment of dependent risk using extreme value theory in a time-varying framework ⋮ Time-varying extreme pattern with dynamic models ⋮ A Bayesian approach for estimating extreme flood probabilities with upper-bounded distribution functions ⋮ Penalized likelihood inference in extreme value analyses ⋮ Estimation of the extreme-value index and generalized quantile plots ⋮ Bayesian estimation of the tail index of a heavy tailed distribution under random censoring ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ A flexible extreme value mixture model ⋮ Bayesian inference for nonstationary marginal extremes ⋮ Modelling dependency effect to extreme value distributions with application to extreme wind speed at Port Elizabeth, South Africa: a frequentist and Bayesian approaches ⋮ Dynamic generalized extreme value modeling via particle filters ⋮ Accounting for the threshold uncertainity in extreme value estimation ⋮ Modelling dependence uncertainty in the extremes of Markov chain ⋮ Bayesian inference for extremes: accounting for the three extremal types ⋮ Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling ⋮ A matching prior for extreme quantile estimation of the generalized Pareto distribution ⋮ An extended Gaussian max-stable process model for spatial extremes ⋮ Bayesian inference for clustered extremes ⋮ Regression models for time-varying extremes ⋮ Premium Calculation for Fat-tailed Risk ⋮ On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation ⋮ Unnamed Item ⋮ Bayesian analysis of extreme events with threshold estimation ⋮ On the use of the peaks over thresholds method for estimating out-of-sample quantiles. ⋮ An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators. ⋮ Threshold selection for extremes under a semiparametric model