Peaks over thresholds modelling with multivariate generalized Pareto distributions
The multivariate generalized Pareto distribution arises as the limit of a suitably normalized vector conditioned upon at least one component of that vector being extreme. Statistical modelling using multivariate generalized Pareto distributions constitutes the multivariate analogue of peaks over thr...
Main Authors: | , , , |
---|---|
Other Authors: | |
Format: | Article in Journal/Newspaper |
Language: | English |
Published: |
2016
|
Subjects: | |
Online Access: | http://hdl.handle.net/2078.1/179269 |
id |
fttriple:oai:gotriple.eu:http://hdl.handle.net/2078.1/179269 |
---|---|
record_format |
openpolar |
spelling |
fttriple:oai:gotriple.eu:http://hdl.handle.net/2078.1/179269 2023-05-15T17:44:32+02:00 Peaks over thresholds modelling with multivariate generalized Pareto distributions Kiriliouk, Anna Rootzén, Holger Segers, Johan Wadsworth, Jennifer UCL - SSH/IMMAQ/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles 2016-01-01 http://hdl.handle.net/2078.1/179269 en eng boreal:179269 IBSA Discussion Paper 2016/40 http://hdl.handle.net/2078.1/179269 other Dépôt Institutionnel de l'Académie Louvain stat eco Journal Article https://vocabularies.coar-repositories.org/resource_types/c_6501/ 2016 fttriple 2023-01-22T18:35:09Z The multivariate generalized Pareto distribution arises as the limit of a suitably normalized vector conditioned upon at least one component of that vector being extreme. Statistical modelling using multivariate generalized Pareto distributions constitutes the multivariate analogue of peaks over thresholds modelling with the univariate generalized Pareto distribution. We introduce a construction device which allows us to develop a variety of new and existing parametric tail dependence models. A censored likelihood procedure is proposed to make inference on these models, together with a threshold selection procedure and several goodness-of-fit diagnostics. We illustrate our methods on two data applications, one concerning the financial risk stemming from the stock prices of four large banks in the United Kingdom, and one aiming at estimating the yearly probability of a rainfall which could cause a landslide in northern Sweden. Article in Journal/Newspaper Northern Sweden Unknown |
institution |
Open Polar |
collection |
Unknown |
op_collection_id |
fttriple |
language |
English |
topic |
stat eco |
spellingShingle |
stat eco Kiriliouk, Anna Rootzén, Holger Segers, Johan Wadsworth, Jennifer Peaks over thresholds modelling with multivariate generalized Pareto distributions |
topic_facet |
stat eco |
description |
The multivariate generalized Pareto distribution arises as the limit of a suitably normalized vector conditioned upon at least one component of that vector being extreme. Statistical modelling using multivariate generalized Pareto distributions constitutes the multivariate analogue of peaks over thresholds modelling with the univariate generalized Pareto distribution. We introduce a construction device which allows us to develop a variety of new and existing parametric tail dependence models. A censored likelihood procedure is proposed to make inference on these models, together with a threshold selection procedure and several goodness-of-fit diagnostics. We illustrate our methods on two data applications, one concerning the financial risk stemming from the stock prices of four large banks in the United Kingdom, and one aiming at estimating the yearly probability of a rainfall which could cause a landslide in northern Sweden. |
author2 |
UCL - SSH/IMMAQ/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles |
format |
Article in Journal/Newspaper |
author |
Kiriliouk, Anna Rootzén, Holger Segers, Johan Wadsworth, Jennifer |
author_facet |
Kiriliouk, Anna Rootzén, Holger Segers, Johan Wadsworth, Jennifer |
author_sort |
Kiriliouk, Anna |
title |
Peaks over thresholds modelling with multivariate generalized Pareto distributions |
title_short |
Peaks over thresholds modelling with multivariate generalized Pareto distributions |
title_full |
Peaks over thresholds modelling with multivariate generalized Pareto distributions |
title_fullStr |
Peaks over thresholds modelling with multivariate generalized Pareto distributions |
title_full_unstemmed |
Peaks over thresholds modelling with multivariate generalized Pareto distributions |
title_sort |
peaks over thresholds modelling with multivariate generalized pareto distributions |
publishDate |
2016 |
url |
http://hdl.handle.net/2078.1/179269 |
genre |
Northern Sweden |
genre_facet |
Northern Sweden |
op_source |
Dépôt Institutionnel de l'Académie Louvain |
op_relation |
boreal:179269 IBSA Discussion Paper 2016/40 http://hdl.handle.net/2078.1/179269 |
op_rights |
other |
_version_ |
1766146782556848128 |