Generalized Pareto copulas: A key to multivariate extremes

Michael Falk, Simone A. Padoan and Florian Wisheckel

Journal of Multivariate Analysis, 2019, vol. 174, issue C

Abstract: This paper reviews generalized Pareto copulas (GPC), which are a key to multivariate extreme value theory. Any generalized Pareto copula can be represented in an easy analytical way using a particular type of norm on Rd, called D-norm. The characteristic property of a generalized Pareto copula is its exceedance stability.

Keywords: Confidence interval; Copula; D-norm; Domain of attraction; Exceedance probability; Exceedance stability; Generalized Pareto copula; Multivariate generalized Pareto distribution; Multivariate max-stable distribution (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2019.104538

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