Multivariate excess distributions
نویسندگان
چکیده
This paper presents a continuous one parameter family of multivariate generalized Pareto distributions which describe the asymptotic behaviour of exceedances over linear thresholds. The one–dimensional theory has proved to be important in insurance, finance and risk management. The multivariate limit theory presented here is developed with similar applications in mind.
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تاریخ انتشار 2004