On the regular variation of elliptical random vectors

DOI10.1016/J.SPL.2006.02.014MaRDI QIDQ2497802zbMATH OpenOpenAlexFDO

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

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)

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

Cited in

(11)

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

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