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.
2019
2019
Falk, Michael; Padoan, Simone A.; Wisheckel, Florian
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/4020664
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