On the regular variation of elliptical random vectors

DOI10.1016/J.SPL.2006.02.014zbMATH Open1103.60035OpenAlexW2071398403MaRDI QIDQ2497802FDOQ2497802

Authors: Enkelejd Hashorva 

Publication date: 4 August 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.02.014

Recommendations

• Extremes of asymptotically spherical and elliptical random vectors
• Asymptotics of the norm of elliptical random vectors
• Gaussian Approximation of Conditional Elliptical Random Vectors
• Conditional limiting distribution of type III elliptical random vectors
• Tail asymptotic results for elliptical distributions

zbMATH Keywords

asymptotics of supremumcoefficient of upper tail dependenceregularly varying vectorssojourn limit theoremsupremum of Berman process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) General theory of stochastic processes (60G07)

Cites Work

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• Multivariate extremes, aggregation and dependence in elliptical distributions
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• A characterization of multivariate regular variation.
• Consistency property of elliptical probability density functions
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• Extremes of asymptotically spherical and elliptical random vectors
• How to model multivariate extremes if one must?
• Some extremal type elliptical distributions
• Extremes of conditioned elliptical random vectors

Cited In (11)

• Asymptotics of the norm of elliptical random vectors
• A note on the coefficients of elliptical random variables
• On the residual dependence index of elliptical distributions
• Gaussian Approximation of Conditional Elliptical Random Vectors
• Multivariate Hill Estimators
• Conditional limiting distribution of type III elliptical random vectors
• Extremes of conditioned elliptical random vectors
• Estimation of extreme risk regions under multivariate regular variation
• Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
• Discussion: Statistical models and methods for dependence in insurance data
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems

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