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math.ST2012★ 17 cited
A multivariate piecing-together approach with an application to operational loss data
Stefan Aulbach, Verena Bayer, Michael Falk
The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We…
math.ST2012★ 5 cited
Testing for a generalized Pareto process
Stefan Aulbach, Michael Falk
We investigate two models for the following setup: We consider a stochastic process X \in C[0,1] whose distribution belongs to a parametric family indexed by \vartheta \in Θ \subse…