Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws

DOI10.1080/17442500701830423zbMath1142.60042arXiv0712.3442OpenAlexW2123725332MaRDI QIDQ3498587

Sidney I. Resnick

Publication date: 15 May 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3442

zbMATH Keywords

conesconditioned limit lawshidden regular variationmultivariate extreme value theoryMultivariate regular variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Probability theory on algebraic and topological structures (60B99) Limit theorems in probability theory (60F99)

Related Items (15)

A stochastic volatility model with flexible extremal dependence structure ⋮ Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process ⋮ Subexponential potential asymptotics with applications ⋮ The index theorem of topological regular variation and its applications ⋮ Hidden regular variation under full and strong asymptotic dependence ⋮ On the regular variation of ratios of jointly Fréchet random variables ⋮ Conditioning on an extreme component: model consistency with regular variation on cones ⋮ Regularly varying measures on metric spaces: hidden regular variation and hidden jumps ⋮ Transition kernels and the conditional extreme value model ⋮ Dimension reduction in multivariate extreme value analysis ⋮ The product of two dependent random variables with regularly varying or rapidly varying tails ⋮ Conditional limits of \(W_{p}\) scale mixture distributions ⋮ Topological regular variation. I: Slow variation ⋮ On the distribution of multiple power series regularly varying at the boundary point ⋮ Hidden Regular Variation and Detection of Hidden Risks

Uses Software

• ismev

Cites Work

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