Models with hidden regular variation: Generation and detection

DOI10.1214/14-SSY141zbMath1346.60073OpenAlexW2199237854MaRDI QIDQ3466710

Bikramjit Das, Sidney I. Resnick

Publication date: 25 January 2016

Full work available at URL: https://projecteuclid.org/euclid.ssy/1450879454

zbMATH Keywords

hidden regular variationmultivariate heavy tailstail estimationconditional extreme value model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Estimation in multivariate analysis (62H12) Extreme value theory; extremal stochastic processes (60G70) Sample path properties (60G17) Stochastic processes (60G99) Spaces of measures, convergence of measures (28A33)

Related Items (9)

Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ ⋮ Asymptotic dependence of in- and out-degrees in a preferential attachment model with reciprocity ⋮ Implicit extremes and implicit max-stable laws ⋮ Hidden regular variation under full and strong asymptotic dependence ⋮ Random networks with heterogeneous reciprocity ⋮ Risk contagion under regular variation and asymptotic tail independence ⋮ Conditional excess risk measures and multivariate regular variation ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data ⋮ Tail probabilities of random linear functions of regularly varying random vectors

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