This paper discusses generalized Pareto copulas which are a key to multivariate extreme value theory. Any generalized Pareto copula can be represented in an easy analytical way using a particular type of D-norm. The characteristic property of a generalized Pareto copula is its exceedance stability.
Generalized Pareto copulas: a key to multivariate extremes
Padoan, Simone A.;
2019
Abstract
This paper discusses generalized Pareto copulas which are a key to multivariate extreme value theory. Any generalized Pareto copula can be represented in an easy analytical way using a particular type of D-norm. The characteristic property of a generalized Pareto copula is its exceedance stability.
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