On the tail behaviour of aggregated random variables

DOI10.1016/J.JMVA.2022.105065OpenAlexW3164205687MaRDI QIDQ2079609FDOQ2079609

Jordan Richards, Jonathan A. Tawn

Publication date: 30 September 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.11917

zbMATH Keywords

aggregationextreme value theoryconditional extremesgeneralised Pareto distributioncopula modelscoefficient of asymptotic independence

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20)

Cites Work

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Cited In (3)

• On the Tail Behaviour of Aggregated Random Variables
• Exact tail asymptotics of aggregated parametrised risk
• Modelling extremes of spatial aggregates of precipitation using conditional methods

Uses Software

• ismev

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