Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques

DOI10.1016/J.JSPI.2010.11.038zbMath1207.62109OpenAlexW1974053964MaRDI QIDQ629113

P. Apputhurai, Alec G. Stephenson

Publication date: 8 March 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.11.038

zbMATH Keywords

simulationposterior distributionprior distributionBayesian model averagingmultivariate extreme value distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

Related Items (3)

A software review for extreme value analysis ⋮ Bayesian model averaging for multivariate extremes ⋮ Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability

Uses Software

• ismev

Cites Work

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• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• Monte Carlo sampling methods using Markov chains and their applications
• An introduction to statistical modeling of extreme values
• Dependence measures for extreme value analyses
• A directory of coefficients of tail dependence

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