Asymptotics of the norm of elliptical random vectors (Q2267591): Difference between revisions

Let \(\mathbf X\) be an elliptical random vector in \({\mathbb R}^d\), \(d \geq 2\) with stochastic representation \(AR\mathbf U\), where the random vector \(\mathbf U\) is uniformly distributed on the unit sphere of \({\mathbb R}^d\), \(R\) is a positive random radius independent of the vector \(\mathbf U\), and \(A \in {\mathbb R}^{d \times d}\) is a given matrix. Assuming that the distribution function of the radius \(R\) is in the Gumbel or Weibull max-domain of attraction, the author obtains an asymptotic expansion of the probability \(\mathbf P \{\| \mathbf X\| > u\}\), where \(\| \cdot \|\) is the Euclidean norm in \({\mathbb R}^d\).