Idioma:

An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails

de Carvalho, M. ; Pereira, S. ; Pereira, P. ; de Zea Bermudez, P.

Journal of agricultural, biological, and environmental statistics, 2022-06, Vol.27 (2), p.222-239 [Periódico revisado por pares]

New York: Springer US

Texto completo disponível

Citações Citado por

Enviar para

Título:
An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails
Autor: de Carvalho, M. ; Pereira, S. ; Pereira, P. ; de Zea Bermudez, P.
Assuntos: Agriculture ; Bayesian analysis ; Biostatistics ; Extreme value theory ; Extreme values ; Health Sciences ; Hydrologic data ; Mathematics and Statistics ; Medicine ; Monitoring/Environmental Analysis ; Rainfall ; Regression models ; Simulation ; Statistics ; Statistics for Life Sciences ; Tails
É parte de: Journal of agricultural, biological, and environmental statistics, 2022-06, Vol.27 (2), p.222-239
Descrição: We introduce a novel regression model for the conditional left and right tail of a possibly heavy-tailed response. The proposed model can be used to learn the effect of covariates on an extreme value setting via a Lasso-type specification based on a Lagrangian restriction. Our model can be used to track if some covariates are significant for the lower values, but not for the (right) tail—and vice versa; in addition to this, the proposed model bypasses the need for conditional threshold selection in an extreme value theory framework. We assess the finite-sample performance of the proposed methods through a simulation study that reveals that our method recovers the true conditional distribution over a variety of simulation scenarios, along with being accurate on variable selection. Rainfall data are used to showcase how the proposed method can learn to distinguish between key drivers of moderate rainfall, against those of extreme rainfall. Supplementary materials accompanying this paper appear online.
Editor: New York: Springer US
Idioma: Inglês

Voltar para lista de resultados

Anterior Resultado 19 Avançar Ir para próxima página

Realização: Logos de Redes Sociais:

An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails

de Carvalho, M. ; Pereira, S. ; Pereira, P. ; de Zea Bermudez, P.

New York: Springer US

Buscando em bases de dados remotas. Favor aguardar.