The multivariate piecing-together approach revisited

DOI10.1016/J.JMVA.2012.02.002zbMath1352.62072arXiv1108.0920OpenAlexW2050904831MaRDI QIDQ443790

Martin Hofmann, Michael Falk, Stefan Aulbach

Publication date: 13 August 2012

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

Full work available at URL: https://arxiv.org/abs/1108.0920

zbMATH Keywords

copulamax-stable processempirical copulacopula processdomain of multivariate attractionmultivariate extreme value distributionmultivariate generalized Pareto distributionD-normGPD-copulapeaks-over-thresholdpiecing-together approach

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)

Related Items (5)

A note on upper-patched generators for Archimedean copulas ⋮ Joint modelling of the body and tail of bivariate data ⋮ Testing for a generalized Pareto process ⋮ Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity ⋮ An offspring of multivariate extreme value theory: the \(\max\)-characteristic function

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• On convergence toward an extreme value distribution in \(C[0,1\)]
• On spatial extremes: with application to a rainfall problem
• Extremal behavior of Archimedean copulas
• Heavy-Tail Phenomena

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