A parametric model for distributions with flexible behavior in both tails
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DOI: 10.1002/env.2658
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References listed on IDEAS
- Hua, Lei & Joe, Harry, 2011. "Second order regular variation and conditional tail expectation of multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 537-546.
- Paul Sharkey & Hugo C. Winter, 2019. "A Bayesian spatial hierarchical model for extreme precipitation in Great Britain," Environmetrics, John Wiley & Sons, Ltd., vol. 30(1), February.
- M. L. Stein, 2017. "Should annual maximum temperatures follow a generalized extreme value distribution?," Biometrika, Biometrika Trust, vol. 104(1), pages 1-16.
- J. Møller & A. N. Pettitt & R. Reeves & K. K. Berthelsen, 2006. "An efficient Markov chain Monte Carlo method for distributions with intractable normalising constants," Biometrika, Biometrika Trust, vol. 93(2), pages 451-458, June.
- Whitney K. Huang & Douglas W. Nychka & Hao Zhang, 2019. "Estimating precipitation extremes using the log‐histospline," Environmetrics, John Wiley & Sons, Ltd., vol. 30(4), June.
Citations
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- André, L.M. & Wadsworth, J.L. & O'Hagan, A., 2024. "Joint modelling of the body and tail of bivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
- Antonello Maruotti & Pierfrancesco Alaimo Di Loro, 2023. "CO2 emissions and growth: A bivariate bidimensional mean‐variance random effects model," Environmetrics, John Wiley & Sons, Ltd., vol. 34(5), August.
- Philémon Gamet & Jonathan Jalbert, 2022. "A flexible extended generalized Pareto distribution for tail estimation," Environmetrics, John Wiley & Sons, Ltd., vol. 33(6), September.
- Shafique Ur Rehman & Touqeer Ahmad & Wu Dash Desheng & Amirhossein Karamoozian, 2024. "Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches," Papers 2407.15766, arXiv.org.
- M. Carvalho & S. Pereira & P. Pereira & P. Zea Bermudez, 2022. "An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 27(2), pages 222-239, June.
- Silius M. Vandeskog & Thordis L. Thorarinsdottir & Ingelin Steinsland & Finn Lindgren, 2022. "Quantile based modeling of diurnal temperature range with the five‐parameter lambda distribution," Environmetrics, John Wiley & Sons, Ltd., vol. 33(4), June.
- Julie Bessac & Robert Underwood & Sheng Di, 2023. "Discussion on “Saving Storage in Climate Ensembles: A Model-Based Stochastic Approach”," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 28(2), pages 358-364, June.
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