Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws
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Publication:3498587
Abstract: We attempt to bring some modest unity to three subareas of heavy tail analysis and extreme value theory: limit laws for componentwise maxima of iid random variables;hidden regular variation and asymptotic independence;conditioned limit laws when one component of a random vector is extreme. The common theme is multivariate regular variation on a cone and the three cases cited come from specifying the cones and .
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Cites work
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Cited in
(22)- Dimension reduction in multivariate extreme value analysis
- Hidden regular variation, second order regular variation and asymptotic independence
- Transition kernels and the conditional extreme value model
- Conditional limits of \(W_{p}\) scale mixture distributions
- A stochastic volatility model with flexible extremal dependence structure
- Linking representations for multivariate extremes via a limit set
- Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
- Conditioning on an extreme component: model consistency with regular variation on cones
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- The product of two dependent random variables with regularly varying or rapidly varying tails
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- On the regular variation of ratios of jointly Fréchet random variables
- Hidden regular variation and detection of hidden risks
- Implicit extremes and implicit max-stable laws
- Hidden regular variation under full and strong asymptotic dependence
- One- versus multi-component regular variation and extremes of Markov trees
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