Transition kernels and the conditional extreme value model

DOI10.1007/S10687-014-0182-0zbMATH Open1311.60059arXiv1210.3060OpenAlexW2127012744MaRDI QIDQ488095FDOQ488095

Authors: Sidney I. Resnick, David Zeber 

Publication date: 23 January 2015

Published in: Extremes (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1210.3060

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zbMATH Keywords

Markov chainheavy tailsextreme value theorydomain of attractionmultivariate regular variationtransition kernel

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (11)

• Conditional extreme value models: fallacies and pitfalls
• Conditional independence and conditioned limit laws
• Transition kernels and the conditional extreme value model
• Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
• Conditioning on an extreme component: model consistency with regular variation on cones
• Extreme events of Markov chains
• Modeling the Extremes of Bivariate Mixture Distributions With Application to Oceanographic Data
• A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values
• Sub-asymptotic motivation for new conditional multivariate extreme models
• Conditioned limit laws for inverted max-stable processes
• One- versus multi-component regular variation and extremes of Markov trees

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