Parametric estimation procedures in multivariate generalized Pareto models

MaRDI QIDQ3552950zbMATH OpenFDO

Authors René Michel

Publication date 22 April 2010

zbMATH Keywords

angular measureasymptotic maximum likelihood estimationextremesPickands measure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Hydrology, hydrography, oceanography (86A05)

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Cited in

(6)

• Simulation of certain multivariate generalized Pareto distributions
• Multivariate peaks over thresholds models
• Likelihood estimators for multivariate extremes
• Multivariate estimation of floods: the trivariate gumbel distribution
• scientific article; zbMATH DE number 1159045 (Why is no real title available?)
• Estimation of the angular density in bivariate generalized Pareto models

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