A hybrid Pareto model for asymmetric fat-tailed data: the univariate case

By Julie Carreau, Yoshua Bengio. 2009

115 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/33db022fdcf053c365d61b503954cd97ccc8308a

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Citations in the corpus

A spatiotemporal precipitation generator based on a censored latent Gaussian field (2015, methodology): “This hybrid distribution is a result of coupling a gamma distribution with a GP distribution and has its origin in the one introduced by Carreau and Bengio [2009], where Gaussian and GP distributions were stitched together.”
A Review of Extreme Value Threshold Estimation and Uncertainty Quantification (2012, methodology): “This mixture model is unlike that of the hybrid model described by Carreau & Bengio (2009a), as it relies on a single GPD for tail estimate and thus requires that only one threshold be estimated. do Nascimento et al. (2011) also showed that the use of posterior predictive inference practically…”
Modeling jointly low, moderate, and heavy rainfall intensities without a threshold selection (2016, methodology): “Carreau and her co-authors 47 (Carreau and Bengio [2006]; Carreau et al.”
Likelihood‐based procedures for threshold diagnostics and uncertainty in extreme value modelling (2012, methodology): “Frigessi et al. (2002), Behrens et al. (2004), Mendes and Lopes (2004) and Carreau and Bengio (2009) each considered different methodologies for joining parametric forms for the body of the data to GP models for the tails.”
Flexible semiparametric generalized Pareto modeling of the entire range of rainfall amount (2019, unknown): “In practice, these models have a large number of parameters and the inference remains a challenge (see also Carreau and Bengio, 2008; MacDonald et al. , 2011, for mixture approaches).”