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  • 12MJMVA_2017_214_12-07

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, 165, 2018 DOI: 10.1016/j.jmva.2017.12.003

    Accepted author manuscript, 199 KB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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Multivariate generalized Pareto distributions: Parametrizations, representations, and properties

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<mark>Journal publication date</mark>05/2018
<mark>Journal</mark>Journal of Multivariate Analysis
Volume165
Number of pages15
Pages (from-to)117-131
Publication StatusPublished
Early online date15/12/17
<mark>Original language</mark>English

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.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Journal of Multivariate Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Multivariate Analysis, 165, 2018 DOI: 10.1016/j.jmva.2017.12.003