Hidden regular variation and the rank transform

DOI10.1239/aap/1118858631zbMath1073.60057OpenAlexW2022142202MaRDI QIDQ5694150

Sidney I. Resnick, Janet E. Heffernan

Publication date: 29 September 2005

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1118858631

zbMATH Keywords

asymptotic independencecoefficient of tail dependenceheavy tailPareto tailinternet trafficflood risk

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)

Related Items (24)

Approximation and estimation of very small probabilities of multivariate extreme events ⋮ Geostatistics of extremes ⋮ Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws ⋮ Hidden regular variation under full and strong asymptotic dependence ⋮ Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions ⋮ A new representation for multivariate tail probabilities ⋮ Modeling multiple risks: hidden domain of attraction ⋮ Regularly varying measures on metric spaces: hidden regular variation and hidden jumps ⋮ The influence of dependence on data network models ⋮ Limit laws for random vectors with an extreme component ⋮ Extreme residual dependence for random vectors and processes ⋮ A New Class of Models for Bivariate Joint Tails ⋮ Copulas: Tales and facts (with discussion) ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ An Alternative Point Process Framework for Modeling Multivariate Extreme Values ⋮ Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation ⋮ Meta densities and the shape of their sample clouds ⋮ Dimension reduction in multivariate extreme value analysis ⋮ Tails of weakly dependent random vectors ⋮ Data network models of burstiness ⋮ Hidden Regular Variation and Detection of Hidden Risks ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ Hidden regular variation for point processes and the single/multiple large point heuristic

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