On conditional extreme values of random vectors with polar representation
DOI10.1007/S10687-013-0179-0zbMATH Open1311.60060OpenAlexW2083043538MaRDI QIDQ488091FDOQ488091
Publication date: 23 January 2015
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-013-0179-0
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elliptical distributionsregular variationpolar representationconditional extreme valuesmax-domain of attraction
Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)
Cites Work
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
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- Asymptotic independence for unimodal densities
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- Limit laws for random vectors with an extreme component
- Conditioning on an extreme component: model consistency with regular variation on cones
- Exact tail asymptotics in bivariate scale mixture models
- Conditional limit results for type I polar distributions
- On the residual dependence index of elliptical distributions
- Extreme behaviour for bivariate elliptical distributions
- High risk scenarios and extremes. A geometric approach
- Gaussian Approximation of Conditional Elliptical Random Vectors
- Asymptotic properties of type I elliptical random vectors
- Sojourns and extremes of Fourier sums and series with random coefficients
- Limit conditional distributions for bivariate vectors with polar representation
- Estimation of conditional laws given an extreme component
Cited In (11)
- Title not available (Why is that?)
- Linking representations for multivariate extremes via a limit set
- Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions
- Conditional limiting distribution of beta-independent random vectors
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
- Extremes of randomly scaled Gumbel risks
- Extremal dependence of random scale constructions
- Extremes of conditioned elliptical random vectors
- On the strong Kotz approximation of Dirichlet random vectors
- A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values
- Limit conditional distributions for bivariate vectors with polar representation
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