On the regular variation of elliptical random vectors

Détails

ID Serval
serval:BIB_7B752384E958
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
On the regular variation of elliptical random vectors
Périodique
Statistics & Probability Letters
Auteur⸱e⸱s
Hashorva E.
ISSN
0167-7152
Statut éditorial
Publié
Date de publication
2006
Peer-reviewed
Oui
Volume
76
Numéro
14
Pages
1427-1434
Langue
anglais
Résumé
Let S = (S-1,...,S-d)(T), d >= 2 be a spherical random vector in R-d and let X = A(inverted perpendicular)S be an elliptical random vector with A is an element of R-dxd a non-singular matrix. Berman (1992. Sojourns and Extremes of Stochastic Processes. Wadsworth & Brooks/ Cole) proved that if the random radius R-d = (Sigma(d)(i=1) S-i(2))(1/2) regularly varying with index alpha > 0 then S and S-i, 1 <= i <= d are regularly varying with index alpha. In this paper we derive several new equivalent conditions for the regular variation of X. As a by-product we obtain two asymptotic results concerning the sojourn and supremum of Berman processes.
Mots-clé
Regularly varying vectors, Elliptical random vectors, Berman process, Sojourn limit theorem, Asymptotics of supremum, Coefficient of upper tail dependence
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Création de la notice
03/09/2010 10:42
Dernière modification de la notice
20/08/2019 14:37
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