Journal of Statistical Computation and Simulation ( IF 1.1 ) Pub Date : 2021-09-01 , DOI: 10.1080/00949655.2021.1971668 Renato Santos da Silva 1 , Fernando Ferraz do Nascimento 2 , Marcelo Bourguignon 3
In extreme values, the block maxima procedure can provide a few observations to perform the inference using the generalized extreme values (GEV) distribution. In this case, an interesting alternative is considered to use the r-largest order statistics (). This study aims in obtaining the posterior distribution for the based on the Bayesian estimation using the Markov chain Monte Carlo method and the Metropolis–Hastings algorithm procedure. The novelty of this study is the introduction of a dynamic linear seasonal model to capture the parameters of the distribution over time. Also, we propose an adapted dynamic criterion for choosing the optimal value of r for each time point. The proposed model exhibits good performance in the simulations. Moreover, the application of the proposed model is performed on the dataset of daily maxima temperature () in Teresina, Piaui, Brazil.
中文翻译:
应用于极端温度数据的动态线性季节性模型:使用 r 大阶统计分布的贝叶斯方法
在极值中,块最大值过程可以提供一些观察结果,以使用广义极值 (GEV) 分布执行推理。在这种情况下,一个有趣的替代方案被认为是使用r -最大阶统计()。本研究旨在获得基于使用马尔可夫链蒙特卡罗方法和 Metropolis-Hastings 算法程序的贝叶斯估计。本研究的新颖之处在于引入了动态线性季节性模型来捕获随时间分布。此外,我们提出了一个适应的动态标准,用于为每个时间点选择r的最佳值。所提出的模型在模拟中表现出良好的性能。此外,该模型的应用是在日最高温度数据集() 在巴西皮奥伊的特雷西纳。