MODELOS BAYESIANOS PARA EXTREMOS / BAYESIAN MODEL FOR EXTREME VALUES

AUTOR(ES)

MARIA JOSE SCHUWARTZ FERREIRA

DATA DE PUBLICAÇÃO

1991

RESUMO

The classical approaches for extreme values studies make use the so called Extreme Values Distribution. An alternative approach, known as P.O.T. (Peaks Over Threshold) developed by hydrologists considers only excedances over a given threshold value. All the existing approaches are in a sense, based on constrained hupothesis. In this thesis we developed forecasting models for extreme values that are dynamic linear model as the underlying formulation, and the Bayesian inference. Although the process observation follows an extreme values distribution and, therefore not a member of the exponential family, we were able to formulate explicitly the model with no use of numerical approximations throughout, Concerning the parameter priors, we use in the model formulation the Jeffery`s non informative prior.

ASSUNTO(S)

series temporais bayesian inference valores extremos extreme value inferencia bayesiana time series

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