Bayesian timeâvarying quantile regression to extremes
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DOI: 10.1002/env.2596
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… read more here.
Keywords: time varying; varying quantile; quantile regression; distribution ... See more keywords