On the regular variation of ratios of jointly Fréchet random variables

DOI10.1007/S10687-011-0133-YMaRDI QIDQ906648zbMATH OpenOpenAlexFDO

Authors Yizao Wang

Publication date 22 January 2016

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.0771

zbMATH Keywords

asymptotic independencehidden regular variationmultivariate Fréchet distributionquotient correlationregular variationspectral representation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Abstract: We provide a necessary and sufficient condition for the ratio of two jointly alpha-Frechet random variables to be regularly varying. This condition is based on the spectral representation of the joint distribution and is easy to check in practice. Our result motivates the notion of the ratio tail index, which quantifies dependence features that are not characterized by the tail dependence index. As an application, we derive the asymptotic behavior of the quotient correlation coefficient proposed in Zhang (2008) in the dependent case. Our result also serves as an example of a new type of regular variation of products, different from the ones investigated by Maulik et al. (2002).

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