Samples with a limit shape, multivariate extremes, and risk
From MaRDI portal
Publication:5005021
DOI10.1017/apr.2020.14zbMath1473.60085OpenAlexW3043231266MaRDI QIDQ5005021
Publication date: 4 August 2021
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2020.14
regular variationlimit setexponential decaytail independencelight-tailed distributionsrisk regionWeibull-like tails
Geometric probability and stochastic geometry (60D05) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Limit theorems in probability theory (60F99)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Approximation of high quantiles from intermediate quantiles
- Approximation and estimation of very small probabilities of multivariate extreme events
- Geometric interpretation of the residual dependence coefficient
- Parametric families of multivariate distributions with given margins
- Bivariate extreme statistics. I
- Meta densities and the shape of their sample clouds
- On the residual dependence index of elliptical distributions
- High risk scenarios and extremes. A geometric approach
- Joint stable attraction of two sums of products
- Convergence of scaled random samples in \({\mathbb{R}{}}^ d\)
- Optimal choice of sample fraction in extreme-value estimation
- Sur la distribution limite du terme maximum d'une série aléatoire
- Asymptotic Dependence for Light-Tailed Homothetic Densities
- Extreme residual dependence for random vectors and processes
- Asymptotic independence for unimodal densities
- Almost sure limit sets of random samples in ℝd
- Statistics for near independence in multivariate extreme values
- The distribution of the convex hull of a Gaussian sample
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- Limiting Sets and Convex Hulls of Samples from Product Measures
- On the Limit Behaviour of Extreme Order Statistics