Generation and Detection of Multivariate Regular Variation and Hidden Regular Variation

Authors Bikramjit Das, Sidney I. Resnick

Publication date 23 March 2014

Spaces of measures, convergence of measures (28A33) Sample path properties (60G17) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We review definitions of multivariate regular variation (MRV) and hidden regular variation (HRV) for distributions of random vectors and then summarize methods for generating models exhibiting both properties. We also discuss diagnostic techniques that detect these properties in multivariate data and indicate when models exhibiting both MRV and HRV are plausible fits for the data. We illustrate our techniques on simulated data and also two real Internet data sets.

This page was built for publication: Generation and Detection of Multivariate Regular Variation and Hidden Regular Variation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6250068)