Multivariate generalized Pareto distributions: parametrizations, representations, and properties
Preprint, 2017

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.

Exceedances

maxima

stable tail dependence function

tai l copula

linear combination

Author

Holger Rootzen

Chalmers, Mathematical Sciences

University of Gothenburg

Johan Segers

Jennifer L. Wadsworth

Subject Categories

Mathematics

Probability Theory and Statistics

Areas of Advance

Building Futures (2010-2018)

Energy

Roots

Basic sciences

More information

Created

10/8/2017