On conditional extreme values of random vectors with polar representation

DOI10.1007/S10687-013-0179-0MaRDI QIDQ488091zbMATH OpenOpenAlexFDO

Authors Miriam Isabel Seifert

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

zbMATH Keywords

elliptical distributionsregular variationpolar representationconditional extreme valuesmax-domain of attraction

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Asymptotic independence for unimodal densities
• Asymptotic properties of type I elliptical random vectors
• Conditional limit results for type I polar distributions
• Conditioning on an extreme component: model consistency with regular variation on cones
• Estimation of conditional laws given an extreme component
• Extreme behaviour for bivariate elliptical distributions
• Gaussian Approximation of Conditional Elliptical Random Vectors
• High risk scenarios and extremes. A geometric approach
• Limit conditional distributions for bivariate vectors with polar representation
• Limit laws for random vectors with an extreme component
• On the residual dependence index of elliptical distributions
• Sojourns and extremes of Fourier sums and series with random coefficients

Cited in

(12)

• scientific article; zbMATH DE number 1054341 (Why is no real title available?)
• 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
• Conditional limit results for type I polar distributions
• 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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