Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes

DOI10.1080/02664763.2016.1201796OpenAlexW2161389011MaRDI QIDQ5138617

Yasuhiro Omori, Jouchi Nakajima, Tsuyoshi Kunihama

Publication date: 4 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2015/2015cf952.pdf

zbMATH Keywords

extreme valuesARMA processstock returnsgeneralized extreme value distributionelectricity demandmixture sampler

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Stochastic tail index model for high frequency financial data with Bayesian analysis

Uses Software

• BayesDA
• ismev

Cites Work

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