Multivariate generalized Pareto distributions: Parametrizations, representations, and properties

Rootzén, Holger, 1945 (author): Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,Chalmers tekniska högskola,Chalmers University of Technology

(creator_code:org_t)

Elsevier BV, 2018
2018
English.
In: Journal of Multivariate Analysis. - : Elsevier BV. - 0047-259X .- 1095-7243. ; 165, s. 117-131

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Abstract Subject headings

© 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.

TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Datorsystem (hsv//swe)
ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Computer Systems (hsv//eng)
NATURVETENSKAP -- Data- och informationsvetenskap -- Annan data- och informationsvetenskap (hsv//swe)
NATURAL SCIENCES -- Computer and Information Sciences -- Other Computer and Information Science (hsv//eng)
NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)

By the author/editor: Rootzén, Holger, ...; Segers, Johan; Wadsworth, Jenni ...

About the subject

ENGINEERING AND TECHNOLOGY: ENGINEERING AND ...; and Electrical Engin ...; and Computer Systems

NATURAL SCIENCES: NATURAL SCIENCES; and Computer and Inf ...; and Other Computer a ...

NATURAL SCIENCES: NATURAL SCIENCES; and Mathematics; and Probability Theo ...

By the university: University of Gothenburg; Chalmers University of Technology

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