Bayesian Non-Parametric Inference for Multivariate Peaks-over-Threshold Models
We consider a constructive definition of the multivariate Pareto that factorizes the random vector into a radial component and an independent angular component. The former follows a univariate Pareto distribution, and the latter is defined on the surface of the positive orthant of the infinity norm...
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| Hlavní autoři: | , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
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MDPI AG
2024-04-01
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| Edice: | Entropy |
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| On-line přístup: | https://www.mdpi.com/1099-4300/26/4/335 |
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