Multivariate peaks-over-threshold with latent variable representations of generalized Pareto vectors

DOI10.1007/S10687-024-00503-2MaRDI QIDQ6971293zbMATH OpenFDO

Authors Jean-Noel Bacro, Carlo Gaetan, T. Opitz, Gwladys Toulemonde

Publication date 16 June 2025

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10687-024-00503-2

zbMATH Keywords

latent variablemultivariate censoringmultivariate extreme-value theorymultivariate generalized Pareto distributionpairwise likelihoodthreshold exceedance

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Multivariate distribution of statistics (62H10) Applications of statistics to environmental and related topics (62P12)

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