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

Författare

Holger Rootzen

Chalmers, Matematiska vetenskaper

Göteborgs universitet

Johan Segers

Jennifer L. Wadsworth

Ämneskategorier

Matematik

Sannolikhetsteori och statistik

Styrkeområden

Building Futures

Energi

Fundament

Grundläggande vetenskaper

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Skapat

2017-10-08