Abstract: Multivariate peaks over thresholds modeling based on generalized Pareto distributions has up to now only been used in few and mostly 2-dimensional situations. This paper contributes theoretical understanding, physically based models, inference tools, and simulation methods to support routine use, with an aim at higher dimensions. We derive a general point process model for extreme episodes in data, and show how conditioning the distribution of extreme episodes on threshold exceedance gives four basic representations of the family of generalized Pareto distributions. The first representation is constructed on the real scale of the observations. The second one starts with a model on a standard exponential scale which then is transformed to the real scale. The third and fourth are reformulations of a spectral representation proposed in A. Ferreira and L. de Haan [Bernoulli 20 (2014) 1717--1737]. Numerically tractable forms of densities and censored densities are found and give tools for flexible parametric likelihood inference. New simulation algorithms, explicit formulas for probabilities and conditional probabilities, and conditions which make the conditional distribution of weighted component sums generalized Pareto are derived.
Recommendations
Cites work
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 3917511 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 409721 (Why is no real title available?)
- scientific article; zbMATH DE number 469373 (Why is no real title available?)
- A multivariate piecing-together approach with an application to operational loss data
- An M-estimator for tail dependence in arbitrary dimensions
- An \(M\)-estimator of spatial tail dependence
- An introduction to statistical modeling of extreme values
- Composite likelihood estimation for the Brown-Resnick process
- Domains of attraction of multivariate extreme value distributions
- Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
- Extreme value theory. An introduction.
- Heavy-Tail Phenomena
- Laws of small numbers: extremes and rare events.
- Likelihood estimators for multivariate extremes
- Markov chain models for threshold exceedances
- Models for stationary max-stable random fields
- Multivariate generalized Pareto distributions
- Parametric estimation procedures in multivariate generalized Pareto models
- Parametric tail copula estimation and model testing
- Quantitative risk management. Concepts, techniques and tools
- Residual life time at great age
- Semi-min-stable processes
- Statistical inference using extreme order statistics
- Statistical modeling of spatial extremes
- Statistics of Extremes
- The generalized Pareto process; with a view towards application and simulation
- Univariate and bivariate GPD methods for predicting extreme wind storm losses
Cited in
(27)- New characterizations of multivariate max-domain of attraction and \(D\)-norms
- Modeling spatial tail dependence with Cauchy convolution processes
- The generalized Pareto process; with a view towards application and simulation
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Advances in statistical modeling of spatial extremes
- A modeler's guide to extreme value software
- Multivariate generalized Pareto distributions
- Representations of \(\max\)-stable processes via exponential tilting
- scientific article; zbMATH DE number 7660128 (Why is no real title available?)
- High-dimensional parametric modelling of multivariate extreme events
- Generalized PELVE and applications to risk measures
- Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
- A spliced gamma-generalized Pareto model for short-term extreme wind speed probabilistic forecasting
- Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds
- A generalized linear model for multivariate events
- Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory
- Severity modeling of extreme insurance claims for tariffication
- A model for the directional evolution of severe ocean storms
- Environmental contours as Voronoi cells
- High-dimensional peaks-over-threshold inference
- On Pickands coordinates in arbitrary dimensions
- Extremal dependence of random scale constructions
- Tail density estimation for exploratory data analysis using kernel methods
- Efficient inference and simulation for elliptical Pareto processes
- A horse race between the block maxima method and the peak-over-threshold approach
- Extremes and regular variation
- Space-time trend detection and dependence modeling in extreme event approaches by functional peaks-over-thresholds: application to precipitation in Burkina Faso
This page was built for publication: Multivariate peaks over thresholds models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1744179)
