The multivariate Piecing-Together approach revisited

The univariate Piecing-Together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. A multivariate extension was established by Aulbach et al. (in press) [2]: the upper tail of a given copula C is cut off an...

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Veröffentlicht in:	Journal of multivariate analysis 2012-09, Vol.110, p.161-170
Hauptverfasser:	Aulbach, Stefan, Falk, Michael, Hofmann, Martin
Format:	Artikel
Sprache:	eng
Schlagworte:	[formula omitted]-norm Copula Copula process Domain of multivariate attraction Empirical copula GDP GPD-copula Gross Domestic Product Mathematical functions Max-stable process Multivariate analysis Multivariate extreme value distribution Multivariate generalized Pareto distribution Pareto optimum Peaks-over-threshold Piecing-Together approach Probability distribution Studies
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