Detecting a conditional extreme value model
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Abstract: In classical extreme value theory probabilities of extreme events are estimated assuming all the components of a random vector to be in a domain of attraction of an extreme value distribution. In contrast, the conditional extreme value model assumes a domain of attraction condition on a sub-collection of the components of a multivariate random vector. This model has been studied in cite{heffernan:tawn:2004,heffernan:resnick:2007,das:resnick:2008a}. In this paper we propose three statistics which act as tools to detect this model in a bivariate set-up. In addition, the proposed statistics also help to distinguish between two forms of the limit measure that is obtained in the model.
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Cited in
(17)- Asymptotics of Markov kernels and the tail chain
- Hidden regular variation under full and strong asymptotic dependence
- Modeling multiple risks: hidden domain of attraction
- Models with hidden regular variation: generation and detection
- Conditioning exceedances on covariate processes
- Trend detection for heteroscedastic extremes
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- On Pearson-Kotz Dirichlet distributions
- Hidden regular variation and detection of hidden risks
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- Estimation of conditional laws given an extreme component
- Conditional limits of \(W_{p}\) scale mixture distributions
- Conditioning on an extreme component: model consistency with regular variation on cones
- A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values
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