Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
Artikel i vetenskaplig tidskrift, 2019

Published with license by Taylor & Francis. When assessing the impact of extreme events, it is often not just a single component, but the combined behavior of several components which is important. Statistical modeling using multivariate generalized Pareto (GP) distributions constitutes the multivariate analogue of univariate peaks over thresholds modeling, which is widely used in finance and engineering. We develop general methods for construction of multivariate GP distributions and use them to create a variety of new statistical models. A censored likelihood procedure is proposed to make inference on these models, together with a threshold selection procedure, goodness-of-fit diagnostics, and a computationally tractable strategy for model selection. The models are fitted to returns of stock prices of four UK-based banks and to rainfall data in the context of landslide risk estimation. Supplementary materials and codes are available online.


Financial risk

Tail dependence

Multivariate extremes


Anna Kiriliouk

Erasmus Universiteit Rotterdam

Holger Rootzen

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Johan Segers

Universite catholique de Louvain

Jennifer L. Wadsworth

Lancaster University


0040-1706 (ISSN) 1537-2723 (eISSN)

Vol. 61 1 123-135


Teknisk mekanik

Annan samhällsbyggnadsteknik

Sannolikhetsteori och statistik


Grundläggande vetenskaper



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