Multivariate generalized Pareto distributions: parametrizations, representations, and properties

DOI10.1016/J.JMVA.2017.12.003zbMATH Open1397.62173arXiv1705.07987OpenAlexW2618810591MaRDI QIDQ1742736FDOQ1742736

Jennifer L. Wadsworth, Holger Rootzén, Johan Segers

Publication date: 12 April 2018

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

Abstract: Multivariate generalized Pareto distributions arise as the limit distributions of exceedances over multivariate thresholds of random vectors in the domain of attraction of a max-stable distribution. These distributions can be parametrized and represented in a number of different ways. Moreover, generalized Pareto distributions enjoy a number of interesting stability properties. An overview of the main features of such distributions are given, expressed compactly in several parametrizations, giving the potential user of these distributions a convenient catalogue of ways to handle and work with generalized Pareto distributions.

Full work available at URL: https://arxiv.org/abs/1705.07987

zbMATH Keywords

stable tail dependence functiontail copulamaximalinear combinationexceedances

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited In (24)

• Modeling Spatial Processes with Unknown Extremal Dependence Class
• Peaks-over-threshold stability of multivariate generalized Pareto distributions
• Joint stochastic simulation of extreme coastal and offshore significant wave heights
• Advances in statistical modeling of spatial extremes
• Some Related Minima Stability and Minima Infinite Divisibility of the General Multivariate Pareto Distributions
• A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
• Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations
• Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
• Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions
• Principal component analysis for multivariate extremes
• Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
• Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory
• Multivariate distributions with generalized Pareto conditionals
• Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables
• Asymmetric tail dependence modeling, with application to cryptocurrency market data
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• Some properties of the homogeneous multivariate Pareto (IV) distribution
• Some properties and characterizations for generalized multivariate Pareto distributions
• A horse race between the block maxima method and the peak-over-threshold approach
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• One- versus multi-component regular variation and extremes of Markov trees
• Multivariate Pareto Distributions: Inference and Financial Applications
• Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes

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