592 citations · 1.4k across the 32 of their papers we have counts for
17 papers · 1 filter
Bayesian nonparametric mixture inconsistency for the number of components: How worried should we be in practice?
Yannis Chaumeny, Johan van der Molen Moris, Anthony C. Davison +1
We consider the Bayesian mixture of finite mixtures (MFMs) and Dirichlet process mixture (DPM) models for clustering. Recent asymptotic theory has established that DPMs overestimat…
Causal Modelling of Heavy-Tailed Variables and Confounders with Application to River Flow
Olivier C. Pasche, Valérie Chavez-Demoulin, Anthony C. Davison
Confounding variables are a recurrent challenge for causal discovery and inference. In many situations, complex causal mechanisms only manifest themselves in extreme events, or tak…
The Tangent Exponential Model
Anthony C. Davison, Nancy Reid
The likelihood function is central to both frequentist and Bayesian formulations of parametric statistical inference, and large-sample approximations to the sampling distributions…
Improved inference on risk measures for univariate extremes
Léo R. Belzile, Anthony C. Davison
We discuss the use of likelihood asymptotics for inference on risk measures in univariate extreme value problems, focusing on estimation of high quantiles and similar summaries of…
Tail risk inference via expectiles in heavy-tailed time series
Anthony C. Davison, Simone A. Padoan, Gilles Stupfler
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and t…
Functional Peaks-over-threshold Analysis
Raphaël de Fondeville, Anthony C. Davison
Peaks-over-threshold analysis using the generalized Pareto distribution is widely applied in modelling tails of univariate random variables, but much information may be lost when c…