Multivariate peaks over thresholds models

DOI10.1007/S10687-017-0294-4zbMATH Open1390.62083arXiv1603.06619OpenAlexW2305146329WikidataQ59611155 ScholiaQ59611155MaRDI QIDQ1744179FDOQ1744179

Authors: Holger Rootzén, Johan Segers, Jennifer L. Wadsworth 

Publication date: 16 April 2018

Published in: Extremes (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1603.06619

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zbMATH Keywords

extreme valuesmultivariate generalized Pareto distributionfeatures selectionpeaks over threshold likelihoodssimulation of extremes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10)

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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
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• Multivariate generalized Pareto distributions
• Representations of \(\max\)-stable processes via exponential tilting
• Title not available (Why is that?)
• 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
• Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds
• A spliced gamma-generalized Pareto model for short-term extreme wind speed probabilistic forecasting
• A model for the directional evolution of severe ocean storms
• 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
• 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
• A horse race between the block maxima method and the peak-over-threshold approach
• Efficient inference and simulation for elliptical Pareto processes
• 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

Uses Software

• ismev
• QRM

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