Detecting a conditional extreme value model

DOI10.1007/S10687-009-0097-3zbMath1226.60078arXiv0902.2996OpenAlexW3100865889MaRDI QIDQ650748

Bikramjit Das, Sidney I. Resnick

Publication date: 27 November 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.2996

zbMATH Keywords

regular variationdomain of attractionheavy tailsasymptotic independenceconditional extreme value model

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Convergence of probability measures (60B10)

Related Items (16)

Conditional extreme value models: fallacies and pitfalls ⋮ Hidden regular variation under full and strong asymptotic dependence ⋮ Estimation of conditional laws given an extreme component ⋮ Extremes of independent chi-square random vectors ⋮ Exact tail asymptotics in bivariate scale mixture models ⋮ Conditioning on an extreme component: model consistency with regular variation on cones ⋮ Modeling multiple risks: hidden domain of attraction ⋮ Regularly varying measures on metric spaces: hidden regular variation and hidden jumps ⋮ Transition kernels and the conditional extreme value model ⋮ A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values ⋮ Asymptotics of Markov Kernels and the Tail Chain ⋮ Dimension reduction in multivariate extreme value analysis ⋮ Conditional limits of \(W_{p}\) scale mixture distributions ⋮ On Pearson-Kotz Dirichlet distributions ⋮ Hidden Regular Variation and Detection of Hidden Risks ⋮ Models with hidden regular variation: Generation and detection

Uses Software

• QRM

Cites Work

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