Multivariate generalized Pareto distributions: Parametrizations, representations, and properties

Rootzen, Holger and Segers, Johan and Wadsworth, Jennifer Lynne (2018) Multivariate generalized Pareto distributions: Parametrizations, representations, and properties. Journal of Multivariate Analysis, 165. pp. 117-131. ISSN 0047-259X

[img]
Preview
PDF (12MJMVA_2017_214_12-07)
JMVA_2017_214_12_07.pdf - Accepted Version
Available under License Creative Commons Attribution-NonCommercial-NoDerivs.

Download (203kB)

Abstract

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.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Multivariate Analysis
Additional Information:
This is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, 165, 2018 DOI: 10.1016/j.jmva.2017.12.003
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2612
Subjects:
ID Code:
89096
Deposited By:
Deposited On:
08 Dec 2017 13:12
Refereed?:
Yes
Published?:
Published
Last Modified:
25 Nov 2020 05:03