Peaks-over-threshold stability of multivariate generalized Pareto distributions

DOI10.1016/J.JMVA.2007.03.009zbMath1137.62028OpenAlexW2003589477MaRDI QIDQ2482625

Michael Falk, Armelle Guillou

Publication date: 23 April 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.03.009

zbMATH Keywords

excess distributionexpected shortfallmultivariate extreme value distributionmultivariate generalized Pareto distributionlinear portfolio

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (7)

Hidden truncation in multivariate Pareto (II) data: properties and inference ⋮ Testing for a multivariate generalized Pareto distribution ⋮ Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory ⋮ A study of bivariate generalized Pareto distribution and its dependence structure among model parameters ⋮ Some variations of EM algorithms for Marshall-Olkin bivariate Pareto distribution with location and scale ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes

Uses Software

• ismev

Cites Work

• Multivariate generalized Pareto distributions
• Residual life time at great age
• Statistical inference using extreme order statistics
• Strong convergence of multivariate point processes of exceedances
• On Pickands coordinates in arbitrary dimensions
• Approximation rates for multivariate exceedances
• Testing for tail independence in extreme value models
• Limit theory for multivariate sample extremes
• Statistics of Extremes
• Approximations for bivariate extreme values
• An introduction to statistical modeling of extreme values
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