Multivariate Extremes: The Pickands Approach

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

Chapter Chapter 5 in Laws of Small Numbers: Extremes and Rare Events, 2004, pp 131-159 from Springer

Abstract: Abstract This chapter is based on the Pickands representation of multivariate extreme value dfs (EVDs) G, see Section 4.3. Corresponding to the univariate case, we introduce certain multivariate, generalized Pareto dfs (GPDs) of the form W = 1+log(G) for the statistical modelling of multivariate exceedances, see Section 5.1, and deduce results for dfs which belong to the δ-neighborhood of multivariate GPDs, see Section 5.3.

Keywords: Point Process; Spectral Decomposition; Dependence Function; Independent Copy; Bivariate Case (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-0348-7791-6_5

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DOI: 10.1007/978-3-0348-7791-6_5

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