Exceedance counts and GOD's order statistics

DOI10.1007/S13171-023-00307-9OpenAlexW4322621700MaRDI QIDQ6167555

Michael Falk

Publication date: 7 August 2023

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-023-00307-9

zbMATH Keywords

generalized Pareto distributionsmultivariate extreme value theoryfragility index\(D\)-normgenerator of \(D\)-normmultivariate exceedancemultivariate max-domain of attractiongeneralized Pareto copulaordered \(D\)-norms

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Cites Work

• Unnamed Item
• New characterizations of multivariate max-domain of attraction and \(D\)-norms
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• Asymptotic Conditional Distribution of Exceedance Counts
• Multivariate Extreme Value Theory and D-Norms

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