Hidden regular variation under full and strong asymptotic dependence

DOI10.1007/s10687-017-0290-8zbMath1381.28005arXiv1602.01262OpenAlexW2963358566WikidataQ102129890 ScholiaQ102129890MaRDI QIDQ1693611

Sidney I. Resnick, Bikramjit Das

Publication date: 31 January 2018

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.01262

zbMATH Keywords

regular variationstrong dependencehidden regular variationmultivariate heavy tailstail estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Spaces of measures, convergence of measures (28A33)

Related Items (5)

Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ ⋮ Asymptotic dependence of in- and out-degrees in a preferential attachment model with reciprocity ⋮ Random networks with heterogeneous reciprocity ⋮ Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data

Uses Software

• igraph

Cites Work

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