Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws

DOI10.1080/17442500701830423zbMATH Open1142.60042arXiv0712.3442OpenAlexW2123725332MaRDI QIDQ3498587FDOQ3498587

Authors: Sidney I. Resnick 

Publication date: 15 May 2008

Published in: Stochastics (Search for Journal in Brave)

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 $[0,infty]imes(0,infty]$.

Full work available at URL: https://arxiv.org/abs/0712.3442

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zbMATH Keywords

hidden regular variationconesconditioned limit lawsmultivariate extreme value theoryMultivariate regular variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Probability theory on algebraic and topological structures (60B99) Limit theorems in probability theory (60F99)

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
• Topological regular variation. I: Slow variation
• The product of two dependent random variables with regularly varying or rapidly varying tails
• Subexponential potential asymptotics with applications
• Characterizations and examples of hidden regular variation
• Living on the multidimensional edge: Seeking hidden risks using regular variation
• Limit laws for random vectors with an extreme component
• On the distribution of multiple power series regularly varying at the boundary point
• Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
• The index theorem of topological regular variation and its applications
• On the regular variation of ratios of jointly Fréchet random variables
• Hidden regular variation and detection of hidden risks
• One- versus multi-component regular variation and extremes of Markov trees
• Implicit extremes and implicit max-stable laws
• Hidden regular variation under full and strong asymptotic dependence

Uses Software

• ismev

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