Extremes of conditioned elliptical random vectors

Détails

ID Serval
serval:BIB_590EAE02369C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Extremes of conditioned elliptical random vectors
Périodique
Journal of Multivariate Analysis
Auteur⸱e⸱s
Hashorva E.
ISSN
0047-259X
Statut éditorial
Publié
Date de publication
2007
Peer-reviewed
Oui
Volume
98
Numéro
8
Pages
1583-1591
Langue
anglais
Résumé
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.
Mots-clé
Elliptical random vectors, Conditional distribution, Multivariate extremes, Max-domain of attraction, Weak convergence, Tail asymptotics
Web of science
Open Access
Oui
Création de la notice
03/09/2010 11:35
Dernière modification de la notice
20/08/2019 15:12
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