On the regular variation of ratios of jointly Fréchet random variables

DOI10.1007/S10687-011-0133-YzbMATH Open1329.62238arXiv1102.0771OpenAlexW2079750136MaRDI QIDQ906648FDOQ906648

Authors: Yizao Wang 

Publication date: 22 January 2016

Published in: Extremes (Search for Journal in Brave)

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).

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

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zbMATH Keywords

asymptotic independencehidden regular variationregular variationspectral representationquotient correlationmultivariate Fréchet distribution

Mathematics Subject Classification ID

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

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