A modeler's guide to extreme value software
From MaRDI portal
Publication:6144812
DOI10.1007/s10687-023-00475-9arXiv2205.07714OpenAlexW4385551542MaRDI QIDQ6144812
Christophe Dutang, Thomas Opitz, Paul J. Northrop, Léo R. Belzile
Publication date: 8 January 2024
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.07714
Cites Work
- Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC
- An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
- Estimation and uncertainty quantification for extreme quantile regions
- An efficient semiparametric maxima estimator of the extremal index
- Likelihood estimation of the extremal index
- Inference for clustered data using the independence loglikelihood
- Model misspecification in peaks over threshold analysis
- Efficient inference and simulation for elliptical Pareto processes
- Improved threshold diagnostic plots for extreme value analyses
- A hierarchical max-stable spatial model for extreme precipitation
- Extremal attractors of Liouville copulas
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- Bayesian model averaging for multivariate extremes
- Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
- Asymmetric Least Squares Estimation and Testing
- Nonparametric estimation of multivariate extreme-value copulas
- The generalized Pareto process; with a view towards application and simulation
- Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
- Bayesian uncertainty management in temporal dependence of extremes
- Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures
- Towards estimating extremal serial dependence via the bootstrapped extremogram
- The extremogram: a correlogram for extreme events
- Extreme value properties of multivariate \(t\) copulas
- Extended generalised Pareto models for tail estimation
- A semiparametric Bayesian approach to extreme value estimation
- Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
- Statistical inference for inter-arrival times of extreme events in bursty time series
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
- Software for the analysis of extreme events: The current state and future directions
- Multivariate generalized Pareto distributions
- A software review for extreme value analysis
- A moment estimator for the index of an extreme-value distribution
- Vector generalized linear and additive extreme value models
- Statistics of extremes by oracle estimation
- Nonparametric rank-based tests of bivariate extreme-value dependence
- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- Exceedances over high thresholds: a guide to threshold selection
- Excess functions and estimation of the extreme-value index
- Models for stationary max-stable random fields
- Bayesian computing with INLA: new features
- Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
- Human life is unlimited -- but short
- Multivariate peaks over thresholds models
- Functional regular variations, Pareto processes and peaks over threshold
- Penalising model component complexity: a principled, practical approach to constructing priors
- INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles
- Maxima of normal random vectors: Between independence and complete dependence
- Simulating multivariate extreme value distributions of logistic type
- Extreme value theory for anomaly detection -- the GPD classifier
- A horse race between the block maxima method and the peak-over-threshold approach
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
- High-dimensional inference using the extremal skew-\(t\) process
- Subsampling extremes: from block maxima to smooth tail estimation
- Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
- Bias-reduced estimators for bivariate tail modelling
- Exceedance-based nonlinear regression of tail dependence
- A new representation for multivariate tail probabilities
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Posterior propriety in Bayesian extreme value analyses using reference priors
- Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
- Models for Extremal Dependence Derived from Skew-symmetric Families
- Extreme residual dependence for random vectors and processes
- Large-sample tests of extreme-value dependence for multivariate copulas
- Probabilities of Concurrent Extremes
- Laws of Small Numbers: Extremes and Rare Events
- A construction principle for multivariate extreme value distributions
- Modeling extreme values by the residual coefficient of variation
- On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- Maximum likelihood estimation in a class of nonregular cases
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Statistics for near independence in multivariate extreme values
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Smoothing the Hill Estimator
- Markov chain models for threshold exceedances
- A nonparametric estimation procedure for bivariate extreme value copulas
- High-dimensional peaks-over-threshold inference
- Reinsurance
- A general approach to generate random variates for multivariate copulae
- Diagnostics for Dependence within Time Series Extremes
- Inference for Clusters of Extreme Values
- Equivalent representations of max-stable processes via ℓp-norms
- Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- A Euclidean Likelihood Estimator for Bivariate Tail Dependence
- Max‐infinitely divisible models and inference for spatial extremes
- Linking representations for multivariate extremes via a limit set
- Graphical Models for Extremes
- Hierarchical Space-Time Modeling of Asymptotically Independent Exceedances With an Application to Precipitation Data
- Modeling Spatial Processes with Unknown Extremal Dependence Class
- Exploiting occurrence times in likelihood inference for componentwise maxima
- Exact simulation of max-stable processes
- Conditional simulation of max-stable processes
- Extremal behaviour of aggregated data with an application to downscaling
- Generalized Additive Modelling of Sample Extremes
- Extremile Regression
- Using a bootstrap method to choose the sample fraction in tail index estimation
- An introduction to statistical modeling of extreme values
- Dependence measures for extreme value analyses
- Statistical modeling of spatial extremes
- Discussion of ``Statistical modeling of spatial extremes by A. C. Davison, S. A. Padoan and M. Ribatet
- Estimating the probability of widespread flood events
- Reparameterization of extreme value framework for improved Bayesian workflow
- Bayesian hierarchical modeling of extreme hourly precipitation in Norway
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: A modeler's guide to extreme value software