Simulation of certain multivariate generalized Pareto distributions

Extremes

Volumn 10, Issue 3, 2007, Pages 83-107

  Michel, René ^a  

^a Altran CIS GmbH   (Germany)

Author keywords

Generalized Pareto distribution; Logistic GPD; Peaks over threshold; Pickands coordinates; Rejection method; Shi transformation; Simulation

Indexed keywords

EID: 36549007549     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-007-0036-0     Document Type: Article

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