Name
Title | ||
|---|---|---|
Multivariate generalized Pareto distributions: Parametrizations, representations, and properties. |
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. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1016/j.jmva.2017.12.003 | Journal of Multivariate Analysis |
Keywords | Field | DocType |
62G32,62E15 | Statistical parameter,Stability (probability),Linear combination,Parametrization,Multivariate statistics,Generalized Pareto distribution,Heavy-tailed distribution,Statistics,Maxima,Mathematics | Journal |
Volume | ISSN | Citations |
165 | 0047-259X | 1 |
PageRank | References | Authors |
0.55 | 3 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Holger Rootzén | 1 | 2 | 1.38 |
| Johan Segers | 2 | 41 | 10.37 |
| Jennifer L. Wadsworth | 3 | 1 | 0.55 |