Multivariate Generalized Pareto Distributions
Statistical inference for extremes has been a subject of intensive research over the past couple of decades. One approach is based on modelling exceedances of a random variable over a high threshold with the generalized Pareto (GP) distribution. This has proved to be an important way to apply extrem...
| Veröffentlicht in: | Bernoulli. - International Statistical Institute and Bernoulli Society for Mathematical Statistics and Probability, 1995. - 12(2006), 5, Seite 917-930 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
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2006
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| Zugriff auf das übergeordnete Werk: | Bernoulli |
| Schlagworte: | Generalized Pareto distribution Multivariate extreme value theory Multivariate Pareto distribution Non-homogeneous Poisson process Peaks-over-threshold method Mathematics Philosophy Physical sciences Behavioral sciences |
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