Title: Construction of generalized Pareto vectors for flexible peaks-over-threshold modeling
Authors: Gwladys Toulemonde - Université de Montpellier (France) [presenting]
Jean-Noel Bacro - Universite de Montpellier (France)
Carlo Gaetan - Ca' Foscari University of Venice (Italy)
Thomas Opitz - BioSP-INRAE (France)
Abstract: A flexible multivariate threshold exceedances modeling is defined based on componentwise ratios between any two independent random vectors with exponential and Gamma marginal distributions. This construction allows flexibility in terms of extremal bivariate dependence. More precisely, asymptotic dependence and independence are possible, as well as hybrid situations. Two useful parametric model classes will be presented. One of the two, based on Gamma convolution models, will be illustrated through a simulation study. Good performance is shown for likelihood-based estimation of summaries of bivariate extremal dependence for several scenarii.