Premium
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.
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom