Multivariate generalized Pareto distributions: parametrizations,\n representations, and properties

2017/05/22 by Holger Rootzén, Johan Segers, Rootzén, Holger +3 · 3 citations
Mathematics · Economics, Econometrics and Finance · Decision Sciences · #Statistical Distribution Estimation and Applications #Financial Risk and Volatility Modeling #Probabilistic and Robust Engineering Design

paper · pdf · doi:10.48550/arxiv.1705.07987

Abstract

Multivariate generalized Pareto distributions arise as the limit\ndistributions of exceedances over multivariate thresholds of random vectors in\nthe domain of attraction of a max-stable distribution. These distributions can\nbe parametrized and represented in a number of different ways. Moreover,\ngeneralized Pareto distributions enjoy a number of interesting stability\nproperties. An overview of the main features of such distributions are given,\nexpressed compactly in several parametrizations, giving the potential user of\nthese distributions a convenient catalogue of ways to handle and work with\ngeneralized Pareto distributions.\n

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