Transition kernels and the conditional extreme value model
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Abstract: The classical approach to multivariate extreme value modelling assumes that the joint distribution belongs to a multivariate domain of attraction. This requires each marginal distribution be individually attracted to a univariate extreme value distribution. An apparently more flexible extremal model for multivariate data was proposed by Heffernan and Tawn under which not all the components are required to belong to an extremal domain of attraction but assumes instead the existence of an asymptotic approximation to the conditional distribution of the random vector given one of the components is extreme. Combined with the knowledge that the conditioning component belongs to a univariate domain of attraction, this leads to an approximation of the probability of certain risk regions. The original focus on conditional distributions had technical drawbacks but is natural in several contexts. We place this approach in the context of the more general approach using convergence of measures and multivariate regular variation on cones.
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- Transition kernels and the conditional extreme value model
Cited in
(11)- Conditional independence and conditioned limit laws
- Extreme events of Markov chains
- Conditioned limit laws for inverted max-stable processes
- Conditional extreme value models: fallacies and pitfalls
- One- versus multi-component regular variation and extremes of Markov trees
- Sub-asymptotic motivation for new conditional multivariate extreme models
- Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
- Modeling the Extremes of Bivariate Mixture Distributions With Application to Oceanographic Data
- Transition kernels and the conditional extreme value model
- Conditioning on an extreme component: model consistency with regular variation on cones
- A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values
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