Efficient inference and simulation for elliptical Pareto processes
椭圆型 ℓ-Pareto 过程的高效推断与模拟
Recent advances in extreme value theory have established |$\ell $|-Pareto processes as the natural limits for extreme events defined in terms of exceedances of a risk functional. In this paper we provide methods for the practical modelling of data based on a tractable yet flexible dependence model. We introduce the class of elliptical |$\ell $|-Pareto processes, which arise as the limits of threshold exceedances of certain elliptical processes characterized by a correlation…