Limit conditional distributions for bivariate vectors with polar representation
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Publication:3562373
Abstract: We investigate conditions for the existence of the limiting conditional distribution of a bivariate random vector when one component becomes large. We revisit the existing literature on the topic, and present some new sufficient conditions. We concentrate on the case where the conditioning variable belongs to the maximum domain of attraction of the Gumbel law, and we study geometric conditions on the joint distribution of the vector. We show that these conditions are of a local nature and imply asymptotic independence when both variables belong to the domain of attraction of an extreme value distribution. The new model we introduce can also be useful for simulations.
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Cites work
- scientific article; zbMATH DE number 107615 (Why is no real title available?)
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- Conditional limit results for type I polar distributions
- Conditioning on an extreme component: model consistency with regular variation on cones
- Estimation of bivariate excess probabilities for elliptical models
- Estimation of conditional laws given an extreme component
- Extreme value theory. An introduction.
- Gaussian Approximation of Conditional Elliptical Random Vectors
- Hidden regular variation, second order regular variation and asymptotic independence
- Limit laws for random vectors with an extreme component
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Cited in
(16)- scientific article; zbMATH DE number 1054341 (Why is no real title available?)
- Conditional limits of \(W_{p}\) scale mixture distributions
- Linking representations for multivariate extremes via a limit set
- Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions
- Geostatistical analysis with copula-based models of madograms, correlograms and variograms
- Conditional limiting distribution of beta-independent random vectors
- Extreme value analysis of actuarial risks: estimation and model validation
- Extremes of randomly scaled Gumbel risks
- Asymptotic behaviour of multivariate default probabilities and default correlations under stress
- On conditional extreme values of random vectors with polar representation
- Extremal dependence of random scale constructions
- Estimation of conditional laws given an extreme component
- Hidden regular variation and detection of hidden 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
- Implicit extremes and implicit max-stable laws
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