Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10524534 | Journal of Multivariate Analysis | 2005 | 28 Pages |
Abstract
In particular we characterize multivariate generalized Pareto distributions (GPs) and spectral δ-neighborhoods of GPs in terms of best attainable rates of convergence of extremes, which are well-known results in the univariate case. A sufficient univariate condition for a multivariate distribution function (df) to belong to the domain of attraction of an extreme value df is derived. Bounds for the variational distance in peaks-over-threshold models are established, which are based on Pickands coordinates.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Michael Falk, Rolf-Dieter Reiss,