Peaks over thresholds modelling with multivariate generalized Pareto distributions

Anna Kiriliouk, Holger Rootzen, Johan Segers and Jennifer Wadsworth

No 2016040, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2016-01-01
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