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arXiv · 1705.07987

Multivariate generalized Pareto distributions: parametrizations, representations, and properties

Holger Rootzén·Johan Segers·Jennifer L. Wadsworth
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Abstract

Multivariate generalized Pareto distributions arise as the limit distributions of exceedances over multivariate thresholds of random vectors in the domain of attraction of a max-stable distribution. These distributions can be parametrized and represented in a number of different ways. Moreover, generalized Pareto distributions enjoy a number of interesting stability properties. An overview of the main features of such distributions are given, expressed compactly in several parametrizations, giving the potential user of these distributions a convenient catalogue of ways to handle and work with generalized Pareto distributions.

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Holger Rootzén, Johan Segers, Jennifer L. Wadsworth. 2017-05-22. Multivariate generalized Pareto distributions: parametrizations, representations, and properties. https://arxiv.org/abs/1705.07987

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