Asymptotic dependence for light-tailed homothetic densities (Q2898917)
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scientific article; zbMATH DE number 6055132
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic dependence for light-tailed homothetic densities |
scientific article; zbMATH DE number 6055132 |
Statements
12 July 2012
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asymptotic dependence
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homothetic density
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multivariate extreme
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light-tailed density
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Asymptotic dependence for light-tailed homothetic densities (English)
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The authors obtain conditions that characterize asymptotic dependence and independence for components of a random vector whose density has light tail and all level sets obtained as scaled copies of a star-shaped set \(D\). The criterion is based on the geometric properties of the coordinate-wise supremum of \(D\) in relation to \(D\). Extensions to the case of a general light-tail densities with possibly non-homothetic level sets are indicated.
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