Asymptotic properties of type I elliptical random vectors (Q1003307)
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English | Asymptotic properties of type I elliptical random vectors |
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Asymptotic properties of type I elliptical random vectors (English)
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28 February 2009
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Asymptotic expansions are derived for tail probabilities and densities of elliptical random vectors which can be represented in the form \(X=AS\), where \(A\) is a non-singular matrix, and \(S\) is a spherical random vector with Euclidian norm \(| S| \) belonging to the Gumbel domain of max-attraction. The results are applied to the approximation of excess and conditional limiting distributions. Asymptotic distributions of concomitants of order statistics for bivariate elliptical random vectors are derived.
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concomitants
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order statistics
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asymptotic expansions
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tail probabilities
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excess probabilities
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