Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes

Generalized extreme value distribution with time-dependence using the AR and MA models in state space form

(2011) Jouchi Nakajima et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Efficient estimation and particle filter for max-stable processes

(2011) Tsuyoshi Kunihama et al.   JOURNAL OF TIME SERIES ANALYSIS

GARCH dependence in extreme value models with Bayesian inference

(2010) Xin Zhao et al.   MATHEMATICS AND COMPUTERS IN SIMULATION

Hierarchical modeling for extreme values observed over space and time

(2008) Huiyan Sang et al.   ENVIRONMENTAL AND ECOLOGICAL STATISTICS

Improved auxiliary mixture sampling for hierarchical models of non-Gaussian data

(2008) Sylvia Frühwirth-Schnatter et al.   STATISTICS AND COMPUTING

Block sampler and posterior mode estimation for asymmetric stochastic volatility models

(2007) Yasuhiro Omori et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS