Title of article :
On Pickands coordinates in arbitrary dimensions
Author/Authors :
Falk، نويسنده , , Michael J Reiss، نويسنده , , Rolf-Dieter، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2005
Abstract :
Pickands coordinates were introduced as a crucial tool for the investigation of bivariate extreme value models. We extend their definition to arbitrary dimensions and, thus, we can generalize many known results for bivariate extreme value and generalized Pareto models to higher dimensions and arbitrary extreme value margins.
ticular 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 :
Pickands representation , Generalized Pareto distribution , Dependence function , Pickands coordinates , spectral decomposition , Spectral ?-neighborhood , Pickands transform , Extreme value distribution , Max-stable distribution
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis