Multivariate generalized Pareto distributions: parametrizations, representations, and properties
Statistics Theory
2017-05-24 v1 Statistics Theory
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 are 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.
Cite
@article{arxiv.1705.07987,
title = {Multivariate generalized Pareto distributions: parametrizations, representations, and properties},
author = {Holger Rootzén and Johan Segers and Jennifer L. Wadsworth},
journal= {arXiv preprint arXiv:1705.07987},
year = {2017}
}
Comments
20 pages