A Bayesian model for multiple change point to extremes, with application to environmental and financial data

DOI10.1080/02664763.2016.1254733OpenAlexW2556381047MaRDI QIDQ5138717

Fernando Ferraz do Nascimento, Wyara Vanesa Moura e Silva

Publication date: 4 December 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2016.1254733

zbMATH Keywords

Bayesian modelMCMCextremeschange pointfinancial datariver quota data

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

Detection of multiple change-points in the scale parameter of a gamma distributed sequence based on reversible jump MCMC ⋮ A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data ⋮ Simple change point model in heteroscedastic extremes ⋮ Regression models for change point data in extremes ⋮ A change-point approach for the identification of financial extreme regimes

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• A Bayesian Analysis for Change Point Problems
• Hierarchical Bayesian Analysis of Changepoint Problems
• Bayesian Retrospective Multiple-Changepoint Identification
• Estimating and Testing Structural Changes in Multivariate Regressions

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