Simulation of certain multivariate generalized Pareto distributions
DOI10.1007/S10687-007-0036-0zbMATH Open1164.65005OpenAlexW2083907060MaRDI QIDQ1003302FDOQ1003302
Authors: René Michel 
Publication date: 28 February 2009
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-007-0036-0
Recommendations
hypothesis testingrejection methodlogistic type multivariate generalized Pareto distributionShi transformation
Statistics of extreme values; tail inference (62G32) Hypothesis testing in multivariate analysis (62H15)
Cites Work
- Statistics of Extremes
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- Moment estimation for multivariate extreme value distribution in a nested logistic model
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Cited In (8)
- Title not available (Why is that?)
- Peaks-over-threshold stability of multivariate generalized Pareto distributions
- Estimation of the angular density in bivariate generalized Pareto models
- Testing for a multivariate generalized Pareto distribution
- Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
- Title not available (Why is that?)
- Some notes on extremal discriminant analysis
- A multivariate piecing-together approach with an application to operational loss data
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