Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions
DOI10.1017/JPR.2015.14zbMATH Open1337.60026OpenAlexW2298576996MaRDI QIDQ2804419FDOQ2804419
Authors: Miriam Isabel Seifert 
Publication date: 29 April 2016
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1457470564
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- Limit theorems for bivariate extremes of non-identically distributed random variables
elliptical distributionrandom normingpolar representationconditional limit theoremsGumbel max-domain of attractionconditional extreme value model
Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05)
Cites Work
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- Extreme value theory. An introduction.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Limit laws for random vectors with an extreme component
- Conditioning on an extreme component: model consistency with regular variation on cones
- Exact tail asymptotics in bivariate scale mixture models
- Extreme behaviour for bivariate elliptical distributions
- High risk scenarios and extremes. A geometric approach
- Sojourns and extremes of Fourier sums and series with random coefficients
- Limit conditional distributions for bivariate vectors with polar representation
- On conditional extreme values of random vectors with polar representation
Cited In (5)
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
- Extremes of randomly scaled Gumbel risks
- Conditional limit results for type I polar distributions
- A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values
- Explicit results on conditional distributions of generalized exponential mixtures
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