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 testingrejection methodlogistic type multivariate generalized Pareto distributionShi transformation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1667428 (Why is no real title available?)
• scientific article; zbMATH DE number 2118489 (Why is no real title available?)
• scientific article; zbMATH DE number 1454116 (Why is no real title available?)
• Moment estimation for multivariate extreme value distribution in a nested logistic model
• Multivariate extreme value distribution and its Fisher information matrix
• Multivariate generalized Pareto distributions
• On Pickands coordinates in arbitrary dimensions
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Simulating multivariate extreme value distributions of logistic type
• Simulation of multivariate extreme values
• Statistics of Extremes
• Testing for a multivariate generalized Pareto distribution

Cited in

(8)

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

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