Detecting a conditional extreme value model

DOI10.1007/s10687-009-0097-3zbMath1226.60078arXiv0902.2996MaRDI QIDQ650748

Bikramjit Das, Sidney I. Resnick

Publication date: 27 November 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.2996

zbMATH Keywords

regular variation; domain of attraction; heavy tails; asymptotic independence; conditional extreme value model

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

60B10: Convergence of probability measures

Related Items

Asymptotics of Markov Kernels and the Tail Chain, Regularly varying measures on metric spaces: hidden regular variation and hidden jumps, Transition kernels and the conditional extreme value model, A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values, Conditioning on an extreme component: model consistency with regular variation on cones, On Pearson-Kotz Dirichlet distributions, Estimation of conditional laws given an extreme component, Extremes of independent chi-square random vectors, Exact tail asymptotics in bivariate scale mixture models, Conditional extreme value models: fallacies and pitfalls, Hidden regular variation under full and strong asymptotic dependence, Dimension reduction in multivariate extreme value analysis, Conditional limits of \(W_{p}\) scale mixture distributions, Modeling multiple risks: hidden domain of attraction, Hidden Regular Variation and Detection of Hidden Risks, Models with hidden regular variation: Generation and detection

Uses Software

• QRM

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