Extremes of asymptotically spherical and elliptical random vectors
Détails
ID Serval
serval:BIB_872748C8F695
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Extremes of asymptotically spherical and elliptical random vectors
Périodique
Insurance: Mathematics and Economics
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
2005
Peer-reviewed
Oui
Volume
36
Numéro
3
Pages
285-302
Langue
anglais
Résumé
In this paper we introduce asymptotically spherical and elliptical random vectors. Based on results of Berman [Berman, M.S., 1992. Sojurns and Extremes of Stochastic Processes. Wadsworth & Brooks/Cole], we study the asymptotic behaviour of the sample extremes for both these new classes of random vectors. Related results for the coefficient of upper tail dependence are further derived.
Mots-clé
Asymptotically spherical random vectors, Asymptotically elliptical random vectors, Multivariate extremes, Max-domain of attraction, Coefficient of upper tail dependence
Web of science
Création de la notice
03/09/2010 11:54
Dernière modification de la notice
20/08/2019 15:46
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