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Multivariate peaks over thresholds models

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

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Suggested Citation

  • Rootzen, Holger & Segers, Johan & Wadsworth, Jennifer, 2018. "Multivariate peaks over thresholds models," LIDAM Reprints ISBA 2018005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2018005
    Note: In : Extremes : statistical theory and applications in science, engineering and economics, vol. 21, no. 1, p. 115-145 (2018)
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    Cited by:

    1. Maud Thomas & Holger Rootzén, 2022. "Real‐time prediction of severe influenza epidemics using extreme value statistics," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(2), pages 376-394, March.
    2. Ho, Zhen Wai Olivier & Dombry, Clément, 2019. "Simple models for multivariate regular variation and the Hüsler–Reiß Pareto distribution," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 525-550.
    3. Daniela Castro-Camilo & Raphaël Huser & Håvard Rue, 2019. "A Spliced Gamma-Generalized Pareto Model for Short-Term Extreme Wind Speed Probabilistic Forecasting," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 24(3), pages 517-534, September.
    4. Sebastian Engelke & Stanislav Volgushev, 2022. "Structure learning for extremal tree models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 2055-2087, November.
    5. 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).
    6. Laudagé, Christian & Desmettre, Sascha & Wenzel, Jörg, 2019. "Severity modeling of extreme insurance claims for tariffication," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 77-92.
    7. Anand Deo & Karthyek Murthy, 2020. "Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives," Papers 2008.09818, arXiv.org.

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