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Multivariate peaks over thresholds models

Extremes volume 21, pages 115–145 (2018)Cite this article

Abstract

Multivariate peaks over thresholds modelling based on generalized Pareto distributions has up to now only been used in few and mostly two-dimensional situations. This paper contributes theoretical understanding, models which can respect physical constraints, inference tools, and simulation methods to support routine use, with an aim at higher dimensions. We derive a general point process model for extreme episodes in data, and show how conditioning the distribution of extreme episodes on threshold exceedance gives four basic representations of the family of generalized Pareto distributions. The first representation is constructed on the real scale of the observations. The second one starts with a model on a standard exponential scale which is then transformed to the real scale. The third and fourth representations are reformulations of a spectral representation proposed in Ferreira and de Haan (Bernoulli 20(4), 1717–1737, 2014). Numerically tractable forms of densities and censored densities are found and give tools for flexible parametric likelihood inference. New simulation algorithms, explicit formulas for probabilities and conditional probabilities, and conditions which make the conditional distribution of weighted component sums generalized Pareto are derived.

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Acknowledgments

Anna Kiriliouk has throughout participated in the discussions leading to this paper. We thank her and two referees for many helpful comments. Research supported by the Knut and Alice Wallenberg foundation. Johan Segers was funded by contract “Projet d’Actions de Recherche Concertées” No. 12/17-045 of the “Communauté française de Belgique” and by IAP research network Grant P7/06 of the Belgian government.

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Authors and Affiliations

  1. Chalmers and Gothenburg University, Göteborg, Sweden

    Holger Rootzén

  2. Université catholique de Louvain, Louvain-la-Neuve, Belgium

    Johan Segers

  3. Lancaster University, Lancaster, UK

    Jennifer L. Wadsworth

Authors
  1. Holger Rootzén
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  2. Johan Segers
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  3. Jennifer L. Wadsworth
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Corresponding author

Correspondence to Holger Rootzén.

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Rootzén, H., Segers, J. & L. Wadsworth, J. Multivariate peaks over thresholds models. Extremes 21, 115–145 (2018). https://doi.org/10.1007/s10687-017-0294-4

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Keywords

  • Extreme values
  • Multivariate generalized Pareto distribution
  • Peaks over threshold likelihoods
  • Simulation of extremes

AMS 2000 Subject Classifications

  • 62G32
  • 60G70
  • 62E10