Multivariate Generalized Pareto Distributions

Michael Falk (), Jürg Hüsler () and Rolf-Dieter Reiss ()
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Michael Falk: University of Würzburg, Institute of Mathematics
Jürg Hüsler: University of Berne, Department of Mathematical Statistics and Actuarial Science
Rolf-Dieter Reiss: University of Siegen, Department of Mathematics

Chapter Chapter 5 in Laws of Small Numbers: Extremes and Rare Events, 2011, pp 171-257 from Springer

Abstract: Abstract In analogy to the univariate case, we introduce certain multivariate generalized Pareto df (GPD) of the form W = 1 + log(G) for the statistical modelling of multivariate exceedances, see Section 5.1. Various results around the multivariate peaks-over-threshold approach are compiled in Section 5.2. The peaks-overthreshold stability of a multivariate GPD is investigated in Section 5.3.

Keywords: Spectral Decomposition; Dependence Function; Tail Dependence; Independent Copy; Angular Component (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-0348-0009-9_5

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DOI: 10.1007/978-3-0348-0009-9_5

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