Extremes of aggregated Dirichlet risks

Détails

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ID Serval
serval:BIB_B7E36AEB9122
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Extremes of aggregated Dirichlet risks
Périodique
Journal of Multivariate Analysis
Auteur⸱e⸱s
Hashorva  E.
ISSN
0047-259X (Print)
Statut éditorial
Publié
Date de publication
01/2015
Peer-reviewed
Oui
Volume
133
Pages
334-345
Langue
anglais
Résumé
The class of Dirichlet random vectors is central in numerous probabilistic and statistical applications. The main result of this paper derives the exact tail asymptotics of the aggregated risk of powers of Dirichlet random vectors when the radial component has df in the Gumbel or the Weibull max-domain of attraction. We present further results for the joint asymptotic independence and the max sum equivalence.
Mots-clé
Dirichlet distribution, Gumbel max-domain of attraction, Weibull max-domain of attraction, Tail asymptotics, Risk aggregation, Davis-Resnick tail property
Web of science
Création de la notice
29/09/2014 12:36
Dernière modification de la notice
20/08/2019 16:26
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