Hidden Regular Variation and Detection of Hidden Risks

DOI10.1080/15326349.2011.614183zbMath1230.91080arXiv1001.5058OpenAlexW2083899010MaRDI QIDQ3113803

Abhimanyu Mitra, Sidney I. Resnick

Publication date: 25 January 2012

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.5058

zbMATH Keywords

weak convergenceregular variationspectral measurevague convergencerisk sets

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Stochastic models in economics (91B70)

Related Items (12)

Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process ⋮ Conditioning on an extreme component: model consistency with regular variation on cones ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Modeling multiple risks: hidden domain of attraction ⋮ Regularly varying measures on metric spaces: hidden regular variation and hidden jumps ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation ⋮ Relations Between Hidden Regular Variation and the Tail Order of Copulas ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data ⋮ Tail probabilities of random linear functions of regularly varying random vectors ⋮ Higher order tail densities of copulas and hidden regular variation ⋮ Hidden regular variation for point processes and the single/multiple large point heuristic

Uses Software

• ismev

Cites Work

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