Conference Papers Year : 2022

Construction of generalized Pareto vectors for flexible peaks-over-threshold modeling

Abstract

A flexible multivariate threshold exceedances modeling is defined based on componentwise ratios between any two independent random vectors with exponential and Gamma marginal distributions. This construction allows flexibility in terms of extremal bivariate dependence. More precisely, asymptotic dependence and independence are possible, as well as hybrid situations. Two useful parametric model classes will be presented. Oneof the two, based on Gamma convolution models, will be illustrated through a simulation study. Good performance is shown for likelihood-based estimation of summaries of bivariate extremal dependence for several scenarii.
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Dates and versions

hal-03887929 , version 1 (07-12-2022)

Identifiers

  • HAL Id : hal-03887929 , version 1

Cite

Gwladys Toulemonde, Jean-Noel Bacro, Carlo Gaetan, Thomas Opitz. Construction of generalized Pareto vectors for flexible peaks-over-threshold modeling. CMStatistics 2022 - 15th International Conference of the ERCIM WG on Computational and Methodological Statistics, CFEnetwork, Dec 2022, London, United Kingdom. ⟨hal-03887929⟩
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