Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions

DOI10.1017/JPR.2015.14MaRDI QIDQ2804419zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

elliptical distributionrandom normingpolar representationconditional limit theoremsGumbel max-domain of attractionconditional extreme value model

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Conditioning on an extreme component: model consistency with regular variation on cones
• Extreme behaviour for bivariate elliptical distributions
• Extreme value theory. An introduction.
• High risk scenarios and extremes. A geometric approach
• Limit conditional distributions for bivariate vectors with polar representation
• Limit laws for random vectors with an extreme component
• On conditional extreme values of random vectors with polar representation
• Sojourns and extremes of Fourier sums and series with random coefficients

Cited in

(6)

• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
• Extremes of randomly scaled Gumbel risks
• Which distributions in the max-domain of attraction satisfy von Mises representation or variation representation for a given auxiliary function?
• 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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