On New Method of Multivariate Extreme Values Modeling Basedon Threshold Approach

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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

About the authors

K M Nazarenko

Moscow State Technological University STANKIN

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


Copyright (c) 2008 Назаренко К.М.

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This work is licensed under a Creative Commons Attribution 4.0 International License.

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