Generalized Pareto copulas: a key to multivariate extremes

DOI10.1016/J.JMVA.2019.104538zbMATH Open1428.62200arXiv1811.09511OpenAlexW2969921692WikidataQ127340836 ScholiaQ127340836MaRDI QIDQ2008230FDOQ2008230

S. A. Padoan, Florian Wisheckel, Michael Falk

Publication date: 22 November 2019

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

Abstract: This paper reviews generalized Pareto copulas (GPC), which turn out to be a key to multivariate extreme value theory. Any GPC can be represented in an easy analytic way using a particular type of norm on $mathbb{R}^d$, called $D$-norm. The characteristic property of a GPC is its exceedance stability. GPC might help to end the debate: What is a multivariate generalized Pareto distribution? We present an easy way how to simulate data from an arbitrary GPC and, thus, from an arbitrary generalized Pareto distribution. As an application we derive nonparametric estimates of the probability that a random vector, which follows a GPC, exceeds a high threshold, together with confidence intervals. A case study on joint exceedance probabilities for air pollutants completes the paper.

Full work available at URL: https://arxiv.org/abs/1811.09511

zbMATH Keywords

copulaconfidence intervaldomain of attractionmultivariate generalized Pareto distributionexceedance probability\(D\)-normgeneralized Pareto copulaexceedance stabilitymultivariate max-stable distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited In (9)

• Peaks-over-threshold stability of multivariate generalized Pareto distributions
• Erratum to: ``Estimation and uncertainty quantification for extreme quantile regions
• A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
• Strong convergence of multivariate maxima
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• Multivariate matrix Mittag-Leffler distributions
• Estimation of multivariate tail quantities
• Estimation and uncertainty quantification for extreme quantile regions
• Extremes and regular variation

Uses Software

• ismev

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