Bayesian inference for the extremal dependence

DOI10.1214/16-ejs1162zbMath1357.62213arXiv1601.01462MaRDI QIDQ73753

Giulia Marcon, Isadora Antoniano-Villalobos, Simone A. Padoan, Isadora Antoniano-Villalobos, Giulia Marcon

Publication date: 1 January 2016

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

Full work available at URL: https://arxiv.org/abs/1601.01462

zbMATH Keywords

Bernstein polynomialsBayesian nonparametricsexchange ratesextremal dependenceangular measuregeneralised extreme value distributionmax-stable distributiontrans-dimensional MCMC

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

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