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Multivariate generalized Pareto distributions: parametrizations, representations, and properties

Holger Rootzén (Institutionen för matematiska vetenskaper) ; Johan Segers ; Jennifer L. Wadsworth
(2017)
[Preprint]

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 are 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.

Nyckelord: Exceedances; maxima; stable tail dependence function; tai l copula; linear combination



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Denna post skapades 2017-08-25.
CPL Pubid: 251435

 

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