Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model. A new estimator for the unknown parameter is defined as the value that minimises the distance between a vector...

The generalized Pareto distribution (GPD) is probably the most popular model for inference on the tail of a distribution. The peaks-over-threshold methodology postulates the GPD as the natural model for excesses over a high threshold. However, for the GPD to fit such excesses well, the threshold...