On the regular variation of elliptical random vectors (Q2497802)

From MaRDI portal
Revision as of 17:38, 24 June 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
On the regular variation of elliptical random vectors
scientific article

    Statements

    On the regular variation of elliptical random vectors (English)
    0 references
    0 references
    4 August 2006
    0 references
    The author considers the following mathematical context: let \(S = (S_1, S_2,\dots, S_d)^{\text{T}}\), \(d\geq 2\), be a spherical random vector in \(\mathbb R^d\), and let \(X = A^{\text{T}} S\) be an elliptical vector with \(A\in \mathbb R^{d\times d}\) a non-singular matrix (T is the transposition sign). Berman (1992) proved that, if the random radius \(R_d =(\sum_{i=1}^d S_i^2)^{1/2}\) is regularly varying with index \(\alpha>0\), then \(S\) and (any of) its components \(S_i, 1\leq i\leq d\), are regularly varying with index \(\alpha\). The aim of the present paper is to describe new equivalent conditions for the regular variation of the elliptical random vector \(X\). More precisely, the author proves that the regular variation of an (arbitrary) component of \(X\) entails a certain asymptotic result on \(S\) and its components, and obtains new equivalent conditions for this fact to hold. As a consequence, two improved asymptotic results concerning the sojourn and supremum of Berman processes are derived. The coefficient of upper tail dependence for elliptical random vectors with regularly varying components is briefly discussed.
    0 references
    regularly varying vectors
    0 references
    supremum of Berman process
    0 references
    sojourn limit theorem
    0 references
    asymptotics of supremum
    0 references
    coefficient of upper tail dependence
    0 references

    Identifiers