References/Notes/Attributions:
Source
Provided as online supplementary material to Heffernan and Tawn, 2004:
http://www.blackwellpublishing.com/rss/Readmefiles/heffernan.htm
References
J. E. Heffernan and J. A. Tawn, A conditional approach for multivariate extreme values, Journal of the Royal Statistical society B, 66, 497 – 546, 2004