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

被引：13
|
作者：
Resnick, Sidney I. [1 ]
机构：
[1] Cornell Univ, Sch Operat Res & Informat Engn, Ithaca, NY 14853 USA
来源：
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2008年 / 80卷 / 2-3期
关键词：
D O I：
10.1080/17442500701830423
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We attempt to bring some modest unity to three subareas of heavy tail analysis and extreme value theory: limit laws for componentwise maxima of iid random variables; hidden regular variation and asymptotic independence; conditioned limit laws when one component of a random vector is extreme. The common theme is multivariate regular variation on a cone and the three cases cited come from specifying the cones [0, infinity](d)\{0};(0, infinity](d); and [0, infinity] x (0, infinity].
引用
收藏
页码：269 / 298
页数：30
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