On New Method of Multivariate Extreme Values Modeling Basedon Threshold Approach

Abstract


We introduce generalized threshold approach for multivariate extreme values modeling.
Using this approach we suggest multivariate generalized Pareto distribution definition. Bivariate
generalized Pareto distribution based on Pickands representation has been examined
with different statistical dependence function models. Numerical experiments with stock indexes
data have been performed showing high efficiency of suggested models and calculation
algorithms.

About the authors

K M Nazarenko

Moscow State Technological University STANKIN

Кафедра прикладной математики; ГОУ ВПО МГТУ «СТАНКИН»; Moscow State Technological University STANKIN

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Copyright (c) 2008 Назаренко К.М.

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