Tail asymptotic results for elliptical distributions

DOI10.1016/j.insmatheco.2008.04.005zbMath1145.62040arXiv0708.1965OpenAlexW2007525460MaRDI QIDQ938049

Enkelejd Hashorva

Publication date: 18 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.1965

zbMATH Keywords

Gumbel max-domain of attractionconditional quantile functionelliptical random vectorsecond order asymptotic expansion

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items

Conditional limit results for type I polar distributions ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ Tails of correlation mixtures of elliptical copulas

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