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Sökning: WFRF:(Wadsworth Jennifer L.)

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1.
  • Kiriliouk, Anna, et al. (författare)
  • Peaks over thresholds modelling with multivariate generalized Pareto distributions
  • 2016
  • Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
    • The multivariate generalized Pareto distribution arises as the limit of a suitably normalized vector conditioned upon at least one component of that vector being extreme. Statistical modelling using multivariate generalized Pareto distributions constitutes the multivariate analogue of peaks over thresholds modelling with the univariate generalized Pareto distribution. We introduce a construction device which allows us to develop a variety of new and existing parametric tail dependence models. A censored likelihood procedure is proposed to make inference on these models, together with a threshold selectionprocedure and several goodness-of-fit diagnostics. We illustrate our methods on two data applications, one concerning the financial risk stemming from the stock prices of four large banks in the United Kingdom, and one aiming at estimating the yearly probability of a rainfall which could cause a landslide in northern Sweden.
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2.
  • Rootzén, Holger, 1945, et al. (författare)
  • Multivariate generalized Pareto distributions: Parametrizations, representations, and properties
  • 2018
  • Ingår i: Journal of Multivariate Analysis. - : Elsevier BV. - 0047-259X .- 1095-7243. ; 165, s. 117-131
  • Tidskriftsartikel (refereegranskat)abstract
    • © 2017 Elsevier Inc. 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 is 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.
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