Conditional limit results for type I polar distributions

DOI10.1007/S10687-008-0078-YzbMATH Open1224.60031arXiv0810.1547OpenAlexW3102349155MaRDI QIDQ626293FDOQ626293

Enkelejd Hashorva

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Abstract: Let (S_1,S_2)=(R cos(Theta), R sin (Theta)) be a bivariate random vector with associated random radius R which has distribution function $F$ being further independent of the random angle Theta. In this paper we investigate the asymptotic behaviour of the conditional survivor probability Psi_{ ho,u}(y):=pk{ ho S_1+ sqrt{1- ho^2} S_2> y lvert S_1> u}, ho in (-1,1),in R when u approaches the upper endpoint of F. On the density function of Theta we require a certain local asymptotic behaviour at 0, whereas for F we require that it belongs to the Gumbel max-domain of attraction. The main result of this contribution is an asymptotic expansion of Psi_{ ho,u}, which is then utilised to construct two estimators for the conditional distribution function 1- Psi_{ ho,u}. Further, we allow Theta to depend on u.

Full work available at URL: https://arxiv.org/abs/0810.1547

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zbMATH Keywords

elliptical distributiontail asymptoticsGumbel max-domain of attractionestimation of conditional distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

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Cited In (17)

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