Multivariate generalized Pareto distributions: Parametrizations, representations, and properties
Journal article, 2018
Tail copula
Linear combination
Maxima
Stable tail dependence function
Exceedances
Author
Holger Rootzen
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Johan Segers
Universite catholique de Louvain
Jennifer L. Wadsworth
Lancaster University
Journal of Multivariate Analysis
0047-259X (ISSN) 1095-7243 (eISSN)
Vol. 165 117-131Subject Categories
Other Computer and Information Science
Probability Theory and Statistics
Computer Systems
DOI
10.1016/j.jmva.2017.12.003