Conditional limits of W_p scale mixture distributions

DOI10.1016/J.JSPI.2009.04.001MaRDI QIDQ2272104zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva

Publication date 5 August 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.5706

zbMATH Keywords

\(W_{p}\) scale mixture distributionsconcomitants of order statisticsconditional limiting distributionDirichlet distributionselliptical distributionskotz approximationMax-domain of attractions

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: In this paper we introduce the class of W_p scale mixture random vectors with a particular radial decomposition and a independent splitting property specified by some random variable W_p, and a positive constant p. We derive several conditional limit results assuming that the distribution of the random radius is in the max-domain of attraction of a univariate extreme value distribution and W_p has a certain tail asymptotic behaviour. As an application we obtain the joint asymptotic distribution of concomitants of order statics considering certain bivariate W_p scale miture samples.

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Cited in

(6)

• Minima and maxima of elliptical arrays and spherical processes
• Asymptotics of the convex hull of spherically symmetric samples
• On Pearson-Kotz Dirichlet distributions
• Estimation of conditional laws given an extreme component
• Conditional limiting distribution of beta-independent random vectors
• On the residual dependence index of elliptical distributions

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