Bayesian analysis of extreme value regression

Economics

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Bayesian analysis of extreme value regression. / Papadakis, Emmanuel N.; Tsionas, Michael.
In: Applied Economics Letters, Vol. 19, No. 17, 11.2012, p. 1707-1710.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Papadakis, EN & Tsionas, M 2012, 'Bayesian analysis of extreme value regression', Applied Economics Letters, vol. 19, no. 17, pp. 1707-1710. https://doi.org/10.1080/13504851.2012.667530

APA

Papadakis, E. N., & Tsionas, M. (2012). Bayesian analysis of extreme value regression. Applied Economics Letters, 19(17), 1707-1710. https://doi.org/10.1080/13504851.2012.667530

Vancouver

Papadakis EN, Tsionas M. Bayesian analysis of extreme value regression. Applied Economics Letters. 2012 Nov;19(17):1707-1710. doi: 10.1080/13504851.2012.667530

Author

Papadakis, Emmanuel N. ; Tsionas, Michael. / Bayesian analysis of extreme value regression. In: Applied Economics Letters. 2012 ; Vol. 19, No. 17. pp. 1707-1710.

Bibtex

@article{488b43b7e6a74baaa7d53a9d773e1b13,

title = "Bayesian analysis of extreme value regression",

abstract = "The article takes up Bayesian inference in extreme value distributions and also considers extreme value regression, which appears relatively uncommon in the regression literature. Numerical methods are organized around Gibbs sampling. It is shown that simple and reliable numerical techniques can be devised by exploiting the particular form of the posterior conditional distributions. The sampling behaviour of the proposed estimators is also explored via Monte Carlo simulation.",

keywords = "extreme value regression , MCMC , Bayesian inference , extreme value distribution",

author = "Papadakis, {Emmanuel N.} and Michael Tsionas",

year = "2012",

month = nov,

doi = "10.1080/13504851.2012.667530",

language = "English",

volume = "19",

pages = "1707--1710",

journal = "Applied Economics Letters",

issn = "1350-4851",

publisher = "Routledge",

number = "17",

}

RIS

TY - JOUR

T1 - Bayesian analysis of extreme value regression

AU - Papadakis, Emmanuel N.

AU - Tsionas, Michael

PY - 2012/11

Y1 - 2012/11

N2 - The article takes up Bayesian inference in extreme value distributions and also considers extreme value regression, which appears relatively uncommon in the regression literature. Numerical methods are organized around Gibbs sampling. It is shown that simple and reliable numerical techniques can be devised by exploiting the particular form of the posterior conditional distributions. The sampling behaviour of the proposed estimators is also explored via Monte Carlo simulation.

AB - The article takes up Bayesian inference in extreme value distributions and also considers extreme value regression, which appears relatively uncommon in the regression literature. Numerical methods are organized around Gibbs sampling. It is shown that simple and reliable numerical techniques can be devised by exploiting the particular form of the posterior conditional distributions. The sampling behaviour of the proposed estimators is also explored via Monte Carlo simulation.

KW - extreme value regression

KW - MCMC

KW - Bayesian inference

KW - extreme value distribution

U2 - 10.1080/13504851.2012.667530

DO - 10.1080/13504851.2012.667530

M3 - Journal article

VL - 19

SP - 1707

EP - 1710

JO - Applied Economics Letters

JF - Applied Economics Letters

SN - 1350-4851

IS - 17

ER -

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