Characterizations and examples of hidden regular variation

DOI10.1007/s10687-004-4728-4zbMath1088.62066MaRDI QIDQ2488443

Krishanu Maulik, Sidney I. Resnick

Publication date: 24 May 2006

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.485.2290

zbMATH Keywords

heavy tails; asymptotic independence; coefficient of tail dependence; multivariate regular variation; Pareto tails

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

60E99: Distribution theory

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