3 papers
stat.ME2014
Modelling extremes using approximate Bayesian Computation
Robert Erhardt, Scott A. Sisson
By the nature of their construction, many statistical models for extremes result in likelihood functions that are computationally prohibitive to evaluate. This is consequently prob…
stat.AP2011
Pricing Weather Derivatives for Extreme Events
Robert J. Erhardt, Richard L. Smith
We consider pricing weather derivatives for use as protection against weather extremes. The method described utilizes results from spatial statistics and extreme value theory to fi…
stat.CO2011
Approximate Bayesian Computing for Spatial Extremes
Robert J. Erhardt, Richard L. Smith
Statistical analysis of max-stable processes used to model spatial extremes has been limited by the difficulty in calculating the joint likelihood function. This precludes all stan…