Extremes of conditioned elliptical random vectors

DOI10.1016/j.jmva.2007.04.008zbMath1125.60048OpenAlexW2071528235MaRDI QIDQ2455465

Enkelejd Hashorva

Publication date: 24 October 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.04.008

zbMATH Keywords

weak convergencemultivariate extremestail asymptoticsconditional distributionmax-domain of attractionelliptical random vectors

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (4)

Representations of \(\max\)-stable processes via exponential tilting ⋮ On some new dependence models derived from multivariate collective models in insurance applications ⋮ Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors ⋮ On the regular variation of elliptical random vectors

Cites Work

• Extremes of asymptotically spherical and elliptical random vectors
• Sojourns and extremes of Fourier sums and series with random coefficients
• Extremes and related properties of random sequences and processes
• On the theory of elliptically contoured distributions
• Sojourns and extremes of stationary processes
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Characteristic functions of a class of elliptical distributions
• Consistency property of elliptical probability density functions
• Uniform distributions on spheres in finite dimensional \(L_\alpha\) and their generalizations
• On the regular variation of elliptical random vectors
• The convex hull of a spherically symmetric sample
• Gaussian Approximation of Conditional Elliptical Random Vectors
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