On the regular variation of elliptical random vectors

DOI10.1016/j.spl.2006.02.014zbMath1103.60035OpenAlexW2071398403MaRDI QIDQ2497802

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)

Related Items (8)

Extremal \(t\) processes: elliptical domain of attraction and a spectral representation ⋮ Multivariate Hill Estimators ⋮ Estimation of extreme risk regions under multivariate regular variation ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ Extremes of conditioned elliptical random vectors ⋮ Asymptotics of the norm of elliptical random vectors ⋮ On the residual dependence index of elliptical distributions ⋮ Discussion: Statistical models and methods for dependence in insurance data

Cites Work

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