Multivariate generalized Pareto distributions: Parametrizations, representations, and properties

Holger Rootzén, Johan Segers, Jennifer L. Wadsworth. Multivariate generalized Pareto distributions: Parametrizations, representations, and properties. J. Multivariate Analysis, 165:117-131, 2018. [doi]

Authors

Holger Rootzén

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Johan Segers

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Jennifer L. Wadsworth

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