The multivariate piecing-together approach revisited

DOI10.1016/j.jmva.2012.02.002zbMath1352.62072arXiv1108.0920MaRDI QIDQ443790

Martin Hofmann, Michael Falk, Stefan Aulbach

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

copula; max-stable process; empirical copula; copula process; domain of multivariate attraction; multivariate extreme value distribution; multivariate generalized Pareto distribution; D-norm; GPD-copula; peaks-over-threshold; piecing-together approach

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

Related Items

A note on upper-patched generators for Archimedean copulas, Joint modelling of the body and tail of bivariate data, An offspring of multivariate extreme value theory: the \(\max\)-characteristic function, Testing for a generalized Pareto process, Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity

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