Conditional limit results for type I polar distributions
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Publication:626293
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 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.
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- Limit conditional distributions for bivariate vectors with polar representation
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