Multivariate generalized Pareto distributions: parametrizations, representations, and properties

DOI10.1016/j.jmva.2017.12.003zbMath1397.62173arXiv1705.07987OpenAlexW2618810591MaRDI QIDQ1742736

Jennifer L. Wadsworth, Holger Rootzén, Johan Segers

Publication date: 12 April 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.07987

zbMATH Keywords

linear combinationmaximaexceedancesstable tail dependence functiontail copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

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