The multivariate piecing-together approach revisited

DOI10.1016/J.JMVA.2012.02.002MaRDI QIDQ443790zbMATH OpenOpenAlexFDO

Authors Stefan Aulbach, Michael Falk, Martin Hofmann

Publication date 13 August 2012

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

Full work available at URL https://arxiv.org/abs/1108.0920

zbMATH Keywords

copulaempirical copulapeaks-over-thresholdmax-stable processcopula processdomain of multivariate attractionmultivariate extreme value distributionmultivariate generalized Pareto distributionD-normGPD-copulapiecing-together approach

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: The univariate Piecing-Together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. A multivariate extension was established by Aulbach et al. (2012a): The upper tail of a given copula C is cut off and replaced by a multivariate GPD-copula in a continuous manner, yielding a new copula called a PT-copula. Then each margin of this PT-copula is transformed by a given univariate distribution function. This provides a multivariate distribution function with prescribed margins, whose copula is a GPD-copula that coincides in its central part with C. In addition to Aulbach et al. (2012a), we achieve in the present paper an exact representation of the PT-copula's upper tail, giving further insight into the multivariate PT approach. A variant based on the empirical copula is also added. Furthermore our findings enable us to establish a functional PT version as well.

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Cited in

(6)

• An offspring of multivariate extreme value theory: the -characteristic function
• Joint modelling of the body and tail of bivariate data
• Testing for a generalized Pareto process
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• A note on upper-patched generators for Archimedean copulas
• A multivariate piecing-together approach with an application to operational loss data

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