Simulation of certain multivariate generalized Pareto distributions

DOI10.1007/S10687-007-0036-0MaRDI QIDQ1003302zbMATH OpenOpenAlexFDO

Authors René Michel

Publication date 28 February 2009

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-007-0036-0

zbMATH Keywords

hypothesis testinglogistic type multivariate generalized Pareto distributionrejection methodShi transformation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Hypothesis testing in multivariate analysis (62H15)

Review text

An algorithm is proposed for a simulation from a generalized pareto distribution (GPD) of logistic type, i.e., for the CDF \( w_\lambda(x_1,\dots,x_d)=1-\left(\sum_{i=1}^d(-x_i)^\lambda\right)^{1/\lambda} \) for \(x_i<0\). It is based on the Shi transformation. A version of the rejection method is described for simulations from GPDs with bounded Pickands densities in a neighbourhood of the origin. It is proposed to simulate unconditionally GPD distributed random vectors using the POT-stability property of GPDs. A test for a hypothesis \(\lambda=\lambda_0\) is considered in which the distribution of the test statistics is approximated via simulations. An application to a hydrological data set is described.

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Cited in

(8)

• Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
• Peaks-over-threshold stability of multivariate generalized Pareto distributions
• scientific article; zbMATH DE number 4109921 (Why is no real title available?)
• A multivariate piecing-together approach with an application to operational loss data
• scientific article; zbMATH DE number 1179829 (Why is no real title available?)
• Estimation of the angular density in bivariate generalized Pareto models
• Testing for a multivariate generalized Pareto distribution
• Some notes on extremal discriminant analysis

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