Estimation of the angular density in bivariate generalized Pareto models

DOI10.1080/02331880802190455zbMath1282.62132OpenAlexW1978913921MaRDI QIDQ5400787

René Michel

Publication date: 12 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880802190455

zbMATH Keywords

extreme value theorygeneralized Pareto distributionpeaks over thresholdangular density

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32)

Uses Software

• ismev

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate generalized Pareto distributions
• Some notes on multivariate generalized Pareto distributions
• Simulation of certain multivariate generalized Pareto distributions
• On Pickands coordinates in arbitrary dimensions
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• A course on point processes
• Testing for tail independence in extreme value models
• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• An introduction to statistical modeling of extreme values
• Dependence measures for extreme value analyses

This page was built for publication: Estimation of the angular density in bivariate generalized Pareto models