Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
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Cites work
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- Likelihood estimators for multivariate extremes
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- Multivariate generalized Pareto distributions
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- Statistical modeling of spatial extremes
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Cited in
(10)- Multivariate Sparse Clustering for Extremes
- Cross-validation on extreme regions
- Nonparametric simulation of multivariate extreme events via spectral bootstrap
- On regression in extreme regions
- Statistical inference for multivariate extremes via a geometric approach
- Comparative study on excess distribution estimation in iid settings
- Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions
- Multivariate peaks-over-threshold with latent variable representations of generalized Pareto vectors
- Multivariate generalized Pareto distributions along extreme directions
- Weak signals and heavy tails: learning theory meets extreme value analysis
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