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Multivariate generalized Pareto distributions: Parametrizations, representations, and properties

Author

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  • Rootzen, Holger
  • Segers, Johan
  • Wadsworth, Jennifer L.

Abstract

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Suggested Citation

  • Rootzen, Holger & Segers, Johan & Wadsworth, Jennifer L., 2018. "Multivariate generalized Pareto distributions: Parametrizations, representations, and properties," LIDAM Reprints ISBA 2018003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2018003
    Note: In : Journal of Multivariate Analysis, vol. 165, p. 117-131 (2018)
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    Cited by:

    1. Mourahib, Anas & Kiriliouk, Anna & Segers, Johan, 2023. "Multivariate generalized Pareto distributions along extreme directions," LIDAM Discussion Papers ISBA 2023034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Raphaël de Fondeville & Anthony C. Davison, 2022. "Functional peaks‐over‐threshold analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1392-1422, September.
    3. Asenova, Stefka & Segers, Johan, 2022. "Extremes of Markov random fields on block graphs," LIDAM Discussion Papers ISBA 2022013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
      • Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020. "TailCoR," Papers 2011.14817, arXiv.org.
    5. Segers, Johan, 2019. "One- versus multi-component regular variation and extremes of Markov trees," LIDAM Discussion Papers ISBA 2019001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Hentschel, Manuel & Engelke, Sebastian & Segers, Johan, 2022. "Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions," LIDAM Discussion Papers ISBA 2022032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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