Simulation of certain multivariate generalized Pareto distributions |
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Authors: | René Michel |
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Institution: | (1) Altran CIS, 60313 Frankfurt, Germany |
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Abstract: | The investigation of multivariate generalized Pareto distributions (GPDs) has begun only recently. For further progress with
these distributions simulation methods are an important part. We describe several methods of simulating GPDs, beginning with
an efficient method for the logistic GPD. The algorithm is based on the Shi transformation, which was already used for the
simulation of multivariate extreme value distributions (EVDs) of logistic type. In the sequel another algorithm is presented
simulating a broader class of GPDs. Due to its numerical complexity it is only practicably applicable in low dimensions. A
method is given to generate unconditional GPD random vectors from conditionally GPD distributed random vectors. A short application
of the simulation methods in the analysis of a real hydrological data set concludes the article. The simulation algorithms
are available on the author’s home page .
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Keywords: | Generalized Pareto distribution Simulation Shi transformation Logistic GPD Pickands coordinates Rejection method Peaks over threshold |
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