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On New Method of Multivariate Extreme Values Modeling Basedon Threshold Approach
- Authors: Nazarenko KM1
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Affiliations:
- Moscow State Technological University STANKIN
- Issue: No 2 (2008)
- Pages: 30-38
- Section: Articles
- URL: https://journals.rudn.ru/miph/article/view/15584
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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.
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 STANKINКафедра прикладной математики; ГОУ ВПО МГТУ «СТАНКИН»; Moscow State Technological University STANKIN
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