Conditional limit results for type I polar distributions (Q626293): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Set OpenAlex properties.
Property / OpenAlex ID
 
Property / OpenAlex ID: W3102349155 / rank
 
Normal rank

Revision as of 02:14, 20 March 2024

scientific article
Language Label Description Also known as
English
Conditional limit results for type I polar distributions
scientific article

    Statements

    Conditional limit results for type I polar distributions (English)
    0 references
    0 references
    0 references
    22 February 2011
    0 references
    Bivariate polar random vectors \((X,Y)\) of the form \(X=R\cos\Theta\), \(Y+\rho X+\sqrt{1-\rho^2}R\sin \Theta\) are considered, where the associated random radius \(R>0\) and the random angle \(\Theta\) are independent, and \(\rho\in[-1,1]\) is a pseudocorrelation. The author derives asymptotic expansions for the conditional probability \(\bar I_{\rho,u}(y)=\text{P}\{Y>y\;| \;X>u\}\) as \(u\) tends to the upper endpoint of the distribution of \(R\). The case when the distribution of \(\Theta\) depends on \(u\) is also considered. These results are applied to the analysis of the asymptotics of unconditional probabilities \(\text{P}\{Y>y,X>x\}\) and to the estimation of the probability \(1-\bar I_{\rho,u}(y)\).
    0 references
    elliptical distribution
    0 references
    Gumbel max-domain of attraction
    0 references
    tail asymptotics
    0 references
    estimation of conditional distribution
    0 references

    Identifiers