Some notes on multivariate generalized Pareto distributions

DOI10.1016/J.JMVA.2007.08.007MaRDI QIDQ928864zbMATH OpenOpenAlexFDO

Authors René Michel

Publication date 11 June 2008

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

Full work available at URL https://doi.org/10.1016/j.jmva.2007.08.007

zbMATH Keywords

angular measurepeaks over thresholdextreme value distributionlogistic GPD

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

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• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• An introduction to statistical modeling of extreme values
• Approximation rates for multivariate exceedances
• Markov chain models for threshold exceedances
• Modelling multivariate extreme value distributions
• Simulating multivariate extreme value distributions of logistic type
• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• Statistics for near independence in multivariate extreme values
• Testing for tail independence in extreme value models

Cited in

(12)

• Estimating a bivariate tail: a copula based approach
• Peaks-over-threshold stability of multivariate generalized Pareto distributions
• Generalized Pareto copulas: a key to multivariate extremes
• Multivariate generalized Pareto distributions: parametrizations, representations, and properties
• Estimation of the angular density in bivariate generalized Pareto models
• Some Related Minima Stability and Minima Infinite Divisibility of the General Multivariate Pareto Distributions
• The multivariate piecing-together approach revisited
• Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
• A study of bivariate generalized Pareto distribution and its dependence structure among model parameters
• Some properties of the homogeneous multivariate Pareto (IV) distribution
• Some properties and characterizations for generalized multivariate Pareto distributions
• A multivariate piecing-together approach with an application to operational loss data

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Uses Software

• ismev

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