Multivariate generalized Pareto distributions: Parametrizations, representations, and properties

Holger Rootzén, Johan Segers and Jennifer L. Wadsworth

Journal of Multivariate Analysis, 2018, vol. 165, issue C, 117-131

Abstract: Multivariate generalized Pareto distributions arise as the limit distributions of exceedances over multivariate thresholds of random vectors in the domain of attraction of a max-stable distribution. These distributions can be parametrized and represented in a number of different ways. Moreover, generalized Pareto distributions enjoy a number of interesting stability properties. An overview of the main features of such distributions is given, expressed compactly in several parametrizations, giving the potential user of these distributions a convenient catalogue of ways to handle and work with generalized Pareto distributions.

Keywords: Exceedances; Maxima; Stable tail dependence function; Tail copula; Linear combination (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.jmva.2017.12.003

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