Data driven estimates for mixtures

DOI10.1016/j.csda.2003.12.006zbMath1429.62019OpenAlexW2135344627MaRDI QIDQ957036

Hedibert Freitas Lopes, Beatriz Vaz de Melo Mendes

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2003.12.006

zbMATH Keywords

robustnesssimulationsextreme value theorymixtures

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32)

Related Items

Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ Sequential Monte Carlo samplers to fit and compare insurance loss models ⋮ A flexible extreme value mixture model ⋮ Editorial: Advances in mixture models

Uses Software

• ismev

Cites Work

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• Extremes and related properties of random sequences and processes
• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• Kernel density estimation and marginalization consistency
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Estimating Normal Means with a Dirichlet Process Prior
• Practical Bayesian Density Estimation Using Mixtures of Normals
• Bayesian Density Estimation and Inference Using Mixtures
• Robust Statistics
• An introduction to statistical modeling of extreme values

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