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Peaks over thresholds modelling with multivariate generalized Pareto distributions

Author

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  • Kiriliouk, Anna
  • Rootzen, Holger
  • Segers, Johan
  • Wadsworth, Jennifer L.

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  • Kiriliouk, Anna & Rootzen, Holger & Segers, Johan & Wadsworth, Jennifer L., 2018. "Peaks over thresholds modelling with multivariate generalized Pareto distributions," LIDAM Reprints ISBA 2018015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2018015
    Note: In : Technometrics, vol. 61, no. 1, p. 123-135 (2019)
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    Cited by:

    1. Segers, Johan, 2019. "One- versus multi-component regular variation and extremes of Markov trees," LIDAM Discussion Papers ISBA 2019001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Hentschel, Manuel & Engelke, Sebastian & Segers, Johan, 2022. "Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions," LIDAM Discussion Papers ISBA 2022032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Kiriliouk, Anna, 2020. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space," Econometrics and Statistics, Elsevier, vol. 16(C), pages 121-135.

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