Limit conditional distributions for bivariate vectors with polar representation

DOI10.1080/15326340903291362zbMATH Open1195.60025arXiv0904.0580OpenAlexW2018540650MaRDI QIDQ3562373FDOQ3562373

Authors: Anne-Laure Fougeres, Philippe Soulier 

Publication date: 21 May 2010

Published in: Stochastic Models (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0904.0580

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zbMATH Keywords

asymptotic independenceelliptic distributionbivariate random vector

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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• Estimation of conditional laws given an extreme component

Cited In (16)

• Title not available (Why is that?)
• 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
• Asymptotic behaviour of multivariate default probabilities and default correlations under stress
• Extremes of randomly scaled Gumbel risks
• On conditional extreme values of random vectors with polar representation
• Extremal dependence of random scale constructions
• Hidden regular variation and detection of hidden risks
• Estimation of conditional laws given an extreme component
• 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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