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Analysis of extreme events [35]

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Bullet points include: As with univariate case, can explore concepts such as ‘domains of attraction’ assuming that there is a limiting copula I.e. the copula that is We can also explore multivariate threshold exceedance behaviour Approximating the marginals by GPDs And the copula by the limiting copula C as above But relies on some strong regularity conditions (e.g. that such limiting marginals and copulas actually exist)

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