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Bayesian time‐varying quantile regression to extremes

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  • Fernando Ferraz Do Nascimento
  • Marcelo Bourguignon

Abstract

Maximum analysis consists of modeling the maximums of a data set by considering a specific distribution. Extreme value theory (EVT) shows that, for a sufficiently large block size, the maxima distribution is approximated by the generalized extreme value (GEV) distribution. Under EVT, it is important to observe the high quantiles of the distribution. In this sense, quantile regression techniques fit the data analysis of maxima by using the GEV distribution. In this context, this work presents the quantile regression extension for the GEV distribution. In addition, a time‐varying quantile regression model is presented, and the important properties of this approach are displayed. The parameter estimation of these new models is carried out under the Bayesian paradigm. The results of the temperature data and river quota application show the advantage of using this model, which allows us to estimate directly the quantiles as a function of the covariates. This shows which of them influences the occurrence of extreme temperature and the magnitude of this influence.

Suggested Citation

  • Fernando Ferraz Do Nascimento & Marcelo Bourguignon, 2020. "Bayesian time‐varying quantile regression to extremes," Environmetrics, John Wiley & Sons, Ltd., vol. 31(2), March.
    • Handle: RePEc:wly:envmet:v:31:y:2020:i:2:n:e2596
    DOI: 10.1002/env.2596
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