The multivariate Piecing-Together approach revisited

Journal of Multivariate Analysis

Volumn 110, Issue , 2012, Pages 161-170

  Aulbach, Stefan ^a   Falk, Michael ^a   Hofmann, Martin ^a  

^a UNIVERSITY OF WÜRZBURG   (Germany)

Author keywords

Copula; Copula process; D norm; Domain of multivariate attraction; Empirical copula; GPD copula; Max stable process; Multivariate extreme value distribution; Multivariate generalized Pareto distribution; Peaks over threshold; Piecing Together approach

Indexed keywords

EID: 84862009504     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2012.02.002     Document Type: Article

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