Conditional limiting distribution of beta-independent random vectors (Q935338)

The author introduces a class of beta-independent random vectors with stochastic representation \(\mathbf X\overset {d}= AR\mathbf U\), where \(A \in {\mathbb R}^{d \times d}\) is a non-singular matrix and the random vector \(\mathbf U\) satisfies the weak beta-independent splitting property, being independent of the associated random radius \(R\). Assuming that the distribution function of the radius \(R\) is in the max-domain of attraction of a univariate extreme value distribution, he obtains asymptotic results for the conditional distribution of beta-independent random vectors. Two applications concerning the Kotz approximation of the conditional distributions and the tail asymptotic behaviour of beta-independent bivariate random vectors are given.