Asymptotic Conditional Distribution of Exceedance Counts

DOI10.1239/AAP/1331216653zbMath1236.62005OpenAlexW2044504677MaRDI QIDQ2879916

Michael Falk, Diana Tichy

Publication date: 10 April 2012

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1331216653

zbMATH Keywords

copulaextremal indexmultivariate extreme value theoryGPD copulafragility indexD-normgeneralized Pareto distribution (GPD)peaks-over-threshold approachexceedance over high threshold

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (7)

Asymptotic conditional distribution of exceedance counts: fragility index with different margins ⋮ Fragility index of block tailed vectors ⋮ Exceedance counts and GOD's order statistics ⋮ Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events ⋮ Generalized Pareto copulas: a key to multivariate extremes ⋮ Extremal properties of M4 processes ⋮ Sojourn times and the fragility index

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