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Year: 2009 | Volume: 2 | Issue: 2 | Page No.: 20 - 32
Abstract
In this study we consider the dependence of the family of multivariate generalized Pareto distributions under given conditions on lower dimensional margins. A new function which describes this conditional dependence is built via Pickands dependence function. This function provides a new characterization of the basic subfamilies of trivariate generalized Pareto distributions.