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Multivariate Peaks Over Threshold

Abstract

We already realized in the univariate case that, from the conceptual viewpoint, the peaks-over-threshold method is a bit more complicated than the annual maxima method. One cannot expect that the questions are getting simpler in the multivariate setting. Subsequently, our attention is primarily restricted to the bivariate case, this topic is fully worked out in [16], 2nd ed., for any dimension. A new result about the testing of tail dependence is added in Section 13.3.

Keywords

Dependence Function Generalize Pareto Distribution Tail Dependence Surge Height Spectral Expansion 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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© Birkhäuser Verlag AG 2007

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