Gaussian approximation of perturbed chi-square risks

DOI10.4310/SII.2014.V7.N3.A6MaRDI QIDQ896416zbMATH OpenFDO

Authors Enkelejd Hashorva, Lanpeng Ji, Krzysztof Dȩbicki

Publication date 9 December 2015

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.4975

zbMATH Keywords

Gaussian approximationchi-square distributionBerman's sojourn limit theoremconditional limit lawHüsler-Reiss distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: In this paper we show that the conditional distribution of perturbed chi-quare risks can be approximated by certain distributions including the Gaussian ones. Our results are of interest for conditional extreme value models and multivariate extremes as shown in three applications.

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(4)

• Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
• Extremes and limit theorems for difference of chi-type processes
• Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays
• Approximation of some multivariate risk measures for Gaussian risks

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