Generalized Pareto copulas: a key to multivariate extremes

DOI10.1016/J.JMVA.2019.104538MaRDI QIDQ2008230zbMATH OpenOpenAlexWikidataFDO

Authors Michael Falk, S. A. Padoan, Florian Wisheckel

Publication date 22 November 2019

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

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

zbMATH Keywords

\(D\)-normconfidence intervalcopuladomain of attractionexceedance probabilityexceedance stabilitygeneralized Pareto copulamultivariate generalized Pareto distributionmultivariate 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)

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.

Recommendations

• Multivariate generalized Pareto distributions
• Multivariate generalized Pareto distributions: parametrizations, representations, and properties
• Multivariate extreme value analysis
• On the copula for multivariate extreme value distributions
• Some notes on multivariate generalized Pareto distributions

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Cited in

(15)

• Generalized multivariate Gumbel distributions -- dependence, aging properties and applications
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