Simulation of certain multivariate generalized Pareto distributions

DOI10.1007/S10687-007-0036-0zbMath1164.65005OpenAlexW2083907060MaRDI QIDQ1003302

René Michel

Publication date: 28 February 2009

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-007-0036-0

zbMATH Keywords

hypothesis testingrejection methodlogistic type multivariate generalized Pareto distributionShi transformation

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32)

Related Items (3)

A multivariate piecing-together approach with an application to operational loss data ⋮ Some notes on extremal discriminant analysis ⋮ Estimation of the angular density in bivariate generalized Pareto models

Cites Work

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• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Statistics of Extremes
• Simulation of multivariate extreme values

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