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Joint Bayesian model selection and parameter estimation of the generalized extreme value model with covariates using birth-death Markov chain Monte Carlo.

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El Adlouni, Salah-Eddine; Ouarda, Taha B. M. J. (2009). Joint Bayesian model selection and parameter estimation of the generalized extreme value model with covariates using birth-death Markov chain Monte Carlo. Water Resources Research , vol. 45 , nº 6. W06403. DOI: 10.1029/2007WR006427.

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Résumé

This paper describes Bayesian estimation of the parameters of the generalized extreme value (GEV) model with covariates. For this model the parameters of the GEV distribution are functions of covariates, allowing for dependent parameters and/or trends. A Markov chain Monte Carlo (MCMC) algorithm is generally used to estimate the posterior distributions of the parameters in a Bayesian framework. In this paper, the birth‐death MCMC (BDMCMC) procedure is developed in order to carry out both parameter estimation and Bayesian model selection. The BDMCMC methods allow the jump between models of different dimensions. The general algorithm consists of two types of sampling steps. The first one involves dimension‐changing moves, and the second is conditional on a fixed model. Parameters are estimated in a fully Bayesian framework, and the model is selected by the length of time that the MCMC chain remains in that model. Real and simulated data sets illustrate the usefulness of the proposed methodology.

Type de document: Article
Mots-clés libres: Bayesian approach; reversible jump Markov chain Monte Carlo method; GEV model with covariates; climate extremes; return level
Centre: Centre Eau Terre Environnement
Date de dépôt: 29 nov. 2019 14:50
Dernière modification: 29 nov. 2019 14:50
URI: http://espace.inrs.ca/id/eprint/9502

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