A multivariate piecing-together approach with an application to operational loss data
From MaRDI portal
Publication:418229
DOI10.3150/10-BEJ343zbMath1238.62062arXiv1205.1617MaRDI QIDQ418229
Verena Bayer, Stefan Aulbach, Michael Falk
Publication date: 28 May 2012
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.1617
copuladomain of multivariate attractionGPD copulamultivariate extreme value distributionmultivariate generalized Pareto distributionpeaks over threshold
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
Related Items (15)
Asymmetric tail dependence modeling, with application to cryptocurrency market data ⋮ Asymptotic conditional distribution of exceedance counts: fragility index with different margins ⋮ On max-stable processes and the functional \(D\)-norm ⋮ Joint modelling of the body and tail of bivariate data ⋮ Fragility index of block tailed vectors ⋮ Testing for a generalized Pareto process ⋮ The multivariate piecing-together approach revisited ⋮ Multivariate peaks over thresholds models ⋮ Testing for a \(\delta \)-neighborhood of a generalized Pareto copula ⋮ Generalized Pareto copulas: a key to multivariate extremes ⋮ Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity ⋮ An offspring of multivariate extreme value theory: the \(\max\)-characteristic function ⋮ Semiparametric bivariate modelling with flexible extremal dependence ⋮ Sojourn times and the fragility index ⋮ Max-stable processes and the functional \(D\)-norm revisited
Uses Software
Cites Work
- Goodness-of-fit tests for copulas: A review and a power study
- Testing for a multivariate generalized Pareto distribution
- An introduction to copulas.
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate generalized Pareto distributions
- Some notes on multivariate generalized Pareto distributions
- Simulation of certain multivariate generalized Pareto distributions
- It was 30 years ago today when Laurens de Haan went the multivariate way
- Approximate distributions of order statistics. With applications to nonparametric statistics
- Residual life time at great age
- Statistical inference using extreme order statistics
- A characterization of quasi-copulas
- Sea and wind: multivariate extremes at work
- On the characterization of a class of binary operations on distribution functions
- Estimating the probability of a rare event
- On spatial extremes: with application to a rainfall problem
- Asymptotics for Operational Risk Quantified with Expected Shortfall
- Statistics of Extremes
- Heavy-Tail Phenomena
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: A multivariate piecing-together approach with an application to operational loss data
