65 citations · 240 across the 21 of their papers we have counts for
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stat.ME2016
Peaks over thresholds modelling with multivariate generalized Pareto distributions
Anna Kiriliouk, Holger Rootzén, Johan Segers +1
When assessing the impact of extreme events, it is often not just a single component, but the combined behaviour of several components which is important. Statistical modelling usi…
math.PR2016★ 65 cited
Multivariate peaks over thresholds models
Holger Rootzén, Johan Segers, Jennifer L. Wadsworth
Multivariate peaks over thresholds modeling based on generalized Pareto distributions has up to now only been used in few and mostly 2-dimensional situations. This paper contribute…