Multivariate generalized Pareto distributions

  title={Multivariate generalized Pareto distributions},
  author={Holger Rootz{\'e}n and Nader Tajvidi},
Statistical inference for extremes has been a subject of intensive research during the past couple of decades. One approach is based on modeling exceedances of a random variable over a high threshold with the Generalized Pareto (GP) distribution. This has shown to be an important way to apply extreme value theory in practice and is widely used. In this paper we introduce a multivariate analogue of the GP distribution and show that it is characterized by each of following two properties: (i… CONTINUE READING
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