Multi-normex distributions for the sum of random vectors. Rates of convergence
DOI10.1007/S10687-022-00461-7zbMath1520.60009arXiv2107.09409OpenAlexW3193360749MaRDI QIDQ6176328
Evgeniĭ Igor'evich Prokopenko, Marie F. Kratz
Publication date: 22 August 2023
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.09409
aggregationrate of convergencemultivariate extremescentral limit theoremdependenceextreme value theoremmultivariate regular variationsecond order regular variationQQ-plotsordered statisticssum of random vectors(multivariate) Pareto distributiongeometrical quantiles
Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) Strong limit theorems (60F15) Rate of convergence, degree of approximation (41A25)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate subexponential distributions and their applications
- Comparison of multivariate distributions using quantile-quantile plots and related tests
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
- Second order regular variation and conditional tail expectation of multiple risks
- Von Mises conditions revisited
- Subexponential distribution functions in \(R^{d}\)
- Extreme geometric quantiles in a multivariate regular variation framework
- High level quantile approximations of sums of risks
- A probabilistic approach to the asymptotic distribution of sums of independent, identically distributed random variables
- Sums, Trimmed sums and extremes
- Multivariate subexponential distributions
- Large deviations of heavy-tailed sums with applications in insurance
- A characterization of multivariate regular variation.
- Second-order regular variation and rates of convergence in extreme-value theory
- Risk concentration under second order regular variation
- Refining the central limit theorem approximation via extreme value theory
- On a Geometric Notion of Quantiles for Multivariate Data
- Normal Approximation and Asymptotic Expansions
- Asymptotic Analysis of Random Walks: Light-Tailed Distributions
- On the limit distributions of lightly trimmed sums
- On the Tail Behavior of Sums of Dependent Risks
- Large deviations of means of heavy-tailed random variables with finite moments of all orders
- Statistics of Extremes
- PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Heavy-Tail Phenomena
- Prescribing a System of Random Variables by Conditional Distributions
- Multi-normex distributions for the sum of random vectors. Rates of convergence
This page was built for publication: Multi-normex distributions for the sum of random vectors. Rates of convergence