A flexible sub-asymptotic parametric model for bivariate threshold exceedances that includes the standardized multivariate generalized Pareto as a limit case and lets dependence vary with the marginal parameters.
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A sub-asymptotic model for bivariate threshold exceedances
A flexible sub-asymptotic parametric model for bivariate threshold exceedances that includes the standardized multivariate generalized Pareto as a limit case and lets dependence vary with the marginal parameters.