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- Rootzén, Holger,1945Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,Chalmers tekniska högskola,Chalmers University of Technology (author)
Multivariate generalized Pareto distributions: Parametrizations, representations, and properties
- Article/chapterEnglish2018
Publisher, publication year, extent ...
- Elsevier BV,2018
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- LIBRIS-ID:oai:gup.ub.gu.se/267009
- https://gup.ub.gu.se/publication/267009URI
- https://doi.org/10.1016/j.jmva.2017.12.003DOI
- https://research.chalmers.se/publication/501729URI
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- Language:English
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- © 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.
Subject headings and genre
- 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
- Exceedances
- Linear combination
- Maxima
- Stable tail dependence function
- Tail copula
- Tail copula
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- Segers, JohanUniversite catholique de Louvain (author)
- Wadsworth, Jennifer L.Lancaster University (author)
- Göteborgs universitetInstitutionen för matematiska vetenskaper (creator_code:org_t)
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- In:Journal of Multivariate Analysis: Elsevier BV165, s. 117-1310047-259X1095-7243
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