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Parametric Estimation Procedures in Multivariate Generalized Pareto Models

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  • RENÉ MICHEL

Abstract

. Modelling the tails of a multivariate distribution can be reasonably done by multivariate generalized Pareto distributions (GPDs). We present several methods of parametric estimation in these models, which use decompositions of the corresponding random vectors with the help of different versions of Pickands coordinates. The estimators are compared to each other with simulated data sets. To show the practical value of the methods, they are applied to a real hydrological data set.

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  • René Michel, 2009. "Parametric Estimation Procedures in Multivariate Generalized Pareto Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 60-75, March.
    • Handle: RePEc:bla:scjsta:v:36:y:2009:i:1:p:60-75
    DOI: 10.1111/j.1467-9469.2008.00619.x
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    1. Einmahl, John H.J. & de Haan, Laurens & Sinha, Ashoke Kumar, 1997. "Estimating the spectral measure of an extreme value distribution," Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 143-171, October.
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    Cited by:

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    2. Rootzen, Holger & Segers, Johan & Wadsworth, Jenny, 2016. "Multivariate peaks over thresholds models," LIDAM Discussion Papers ISBA 2016018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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