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- Rootzén, Holger, 1945, et al.
(författare)
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Multivariate generalized Pareto distributions: Parametrizations, representations, and properties
- 2018
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Ingår i: Journal of Multivariate Analysis. - : Elsevier BV. - 0047-259X .- 1095-7243. ; 165, s. 117-131
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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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