Gaussian approximation of perturbed chi-square risks

DOI10.4310/SII.2014.V7.N3.A6zbMATH Open1326.60043arXiv1309.4975MaRDI QIDQ896416FDOQ896416

Authors: Enkelejd Hashorva, Lanpeng Ji, Krzysztof Dȩbicki 

Publication date: 9 December 2015

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

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.

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

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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)

Cited In (4)

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

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