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Extreme behaviour for bivariate elliptical distributions
Author(s) -
Abdous Belkacem,
Fougères AnneLaure,
Ghoudi Kilani
Publication year - 2005
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.1002/cjs.5540330302
Subject(s) - mathematics , limiting , combinatorics , bivariate analysis , geometry , statistics , mechanical engineering , engineering
The authors examine the asymptotic behaviour of conditional threshold exceedance probabilities for an elliptically distributed pair ( X, Y ) of random variables. More precisely, they investigate the limiting behaviour of the conditional distribution of Y given that X becomes extreme. They show that this behaviour differs between regularly and rapidly varying tails.