Multivariate generalized Pareto distributions

Bernoulli

Volumn 12, Issue 5, 2006, Pages 917-930

  Rootzén, Holger ^a   Tajvidi, Nader ^b  

^a CHALMERS UNIVERSITY OF TECHNOLOGY   (Sweden)

^b LUND INSTITUTE OF TECHNOLOGY   (Sweden)

Author keywords

Generalized Pareto distribution; Multivariate extreme value theory; Multivariate Pareto distribution; Non homogeneous Poisson process; Peaks over threshold method

Indexed keywords

EID: 36549020018     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1161614952     Document Type: Article

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