On conditional extreme values of random vectors with polar representation

DOI10.1007/S10687-013-0179-0zbMath1311.60060OpenAlexW2083043538MaRDI QIDQ488091

Miriam Isabel Seifert

Publication date: 23 January 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-013-0179-0

zbMATH Keywords

regular variationelliptical distributionspolar representationconditional extreme valuesmax-domain of attraction

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)

Related Items (6)

Linking representations for multivariate extremes via a limit set ⋮ Extremes of randomly scaled Gumbel risks ⋮ A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Extremal dependence of random scale constructions ⋮ Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions

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