The multivariate piecing-together approach revisited

DOI10.1016/J.JMVA.2012.02.002zbMATH Open1352.62072arXiv1108.0920OpenAlexW2050904831MaRDI QIDQ443790FDOQ443790

Authors: Stefan Aulbach, Michael Falk, Martin Hofmann 

Publication date: 13 August 2012

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

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.

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

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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)

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Cited In (6)

• An offspring of multivariate extreme value theory: the \(\max\)-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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