Testing for a multivariate generalized Pareto distribution

DOI10.1007/S10687-008-0067-1MaRDI QIDQ626274zbMATH OpenOpenAlexFDO

Authors Michael Falk, René Michel

Publication date 22 February 2011

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-008-0067-1

zbMATH Keywords

threshold selectionexcess distributiongoodness of fit testspeaks over threshold approach

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to environmental and related topics (62P12)

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Cited in

(11)

• Testing for a generalized Pareto process
• A goodness-of-fit test for heavy tailed distributions with unknown parameters and its application to simulated precipitation extremes in the Euro-Mediterranean region
• A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes
• Testing for trends in excesses over a threshold using the generalized Pareto distribution
• scientific article; zbMATH DE number 6951363 (Why is no real title available?)
• Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
• Application of the Kolmogorov-Smirnov test to estimate the threshold when estimating the extreme value index
• Simulation of certain multivariate generalized Pareto distributions
• Multivariate generalized Pareto distributions
• The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
• A multivariate piecing-together approach with an application to operational loss data

Describes a project that uses

Uses Software

• ismev

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