A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values

DOI10.1007/S10687-016-0244-6zbMATH Open1357.60022arXiv1311.0540OpenAlexW2963256399MaRDI QIDQ508708FDOQ508708

Philippe Barbe, Miriam Isabel Seifert

Publication date: 8 February 2017

Published in: Extremes (Search for Journal in Brave)

Abstract: We consider a real random variable X represented through a random pair of real random variables (R,T) and a deterministic function u as X=Ru(T). Under some additional assumptions, we prove a limit theorem for (R,T) given X>x, as x tends to infinity. As a consequence, we derive conditional limit theorems for random pairs (X,Y)=(Ru(T),Rv(T)) given that X is large. These results imply earlier ones which were obtained in the literature under stronger assumptions.

Full work available at URL: https://arxiv.org/abs/1311.0540

Recommendations

• On conditional extreme values of random vectors with polar representation
• Limit conditional distributions for bivariate vectors with polar representation
• Limit theorems for bivariate extremes of non-identically distributed random variables
• Estimation of conditional laws given an extreme component
• scientific article; zbMATH DE number 1524440

zbMATH Keywords

elliptical distributionsregular variationconditional limit theorempolar representationbivariate representationconditional extreme value modelunivariate random variables

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05)

Cites Work

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Title not available (Why is that?)
• Real Analysis and Probability
• Title not available (Why is that?)
• Title not available (Why is that?)
• Limit laws for random vectors with an extreme component
• Transition kernels and the conditional extreme value model
• Conditioning on an extreme component: model consistency with regular variation on cones
• Exact tail asymptotics in bivariate scale mixture models
• Detecting a conditional extreme value model
• Sojourns and extremes of Fourier sums and series with random coefficients
• Limit Conditional Distributions for Bivariate Vectors with Polar Representation
• On conditional extreme values of random vectors with polar representation
• Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions

Cited In (3)

• Limit theorems for bivariate extremes of non-identically distributed random variables
• Extremes of randomly scaled Gumbel risks
• Explicit results on conditional distributions of generalized exponential mixtures

This page was built for publication: A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q508708)