Multivariate generalized Pareto distributions
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Publication:882888
DOI10.3150/bj/1161614952zbMath1134.62028OpenAlexW2119956141WikidataQ56091809 ScholiaQ56091809MaRDI QIDQ882888
Publication date: 24 May 2007
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/bj/1161614952
non-homogeneous Poisson processmultivariate extreme value theorypeaks-over-threshold methodmultivariate Pareto distribution
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
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Uses Software
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