Some notes on multivariate generalized Pareto distributions

DOI10.1016/j.jmva.2007.08.007zbMath1141.62038OpenAlexW2093646561MaRDI QIDQ928864

René Michel

Publication date: 11 June 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.08.007

zbMATH Keywords

extreme value distributionpeaks over thresholdangular measurelogistic GPD

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items

Estimating a bivariate tail: a copula based approach ⋮ A multivariate piecing-together approach with an application to operational loss data ⋮ The multivariate piecing-together approach revisited ⋮ Estimation of the angular density in bivariate generalized Pareto models

Uses Software

• ismev

Cites Work

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• Simulating multivariate extreme value distributions of logistic type
• Approximation rates for multivariate exceedances
• Testing for tail independence in extreme value models
• Modelling multivariate extreme value distributions
• Statistics for near independence in multivariate extreme values
• Markov chain models for threshold exceedances
• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• An introduction to statistical modeling of extreme values

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