Extremes of conditioned elliptical random vectors

Details

Serval ID
serval:BIB_590EAE02369C
Type
Article: article from journal or magazin.
Collection
Publications
Title
Extremes of conditioned elliptical random vectors
Journal
Journal of Multivariate Analysis
Author(s)
Hashorva E.
ISSN
0047-259X
Publication state
Published
Issued date
2007
Peer-reviewed
Oui
Volume
98
Number
8
Pages
1583-1591
Language
english
Abstract
Let {X-n, n >= 1} be iid elliptical random vectors in R-d, d >= 2 and let I, J be two non-empty disjoint index sets. Denote by X-n ,X- I, X-n ,X- J the subvectors of X-n with indices in I, J, respectively. For any a is an element of R-d such that a(J) is in the support of X (1, J) the conditional random sample X-n,X- I vertical bar X-n,X- J = a (J), n >= 1 consists of elliptically distributed random vectors. In this paper we investigate the relation between the asymptotic behaviour of the multivariate extremes of the conditional sample and the unconditional one. We show that the asymptotic behaviour of the multivariate extremes of both samples is the same, provided that the associated random radius of X, has distribution function in the max-domain of attraction of a univariate extreme value distribution.
Keywords
Elliptical random vectors, Conditional distribution, Multivariate extremes, Max-domain of attraction, Weak convergence, Tail asymptotics
Web of science
Open Access
Yes
Create date
03/09/2010 11:35
Last modification date
20/08/2019 15:12
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