Conditional limiting distribution of Type III elliptical random vectors

Details

Serval ID
serval:BIB_4B205A5D547F
Type
Article: article from journal or magazin.
Collection
Publications
Title
Conditional limiting distribution of Type III 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
2
Pages
282-294
Language
english
Abstract
In this paper we consider elliptical random vectors in R-d, d >= 2 with stochastic representation RAU where R is a positive random radius independent of the random vector U which is uniformly distributed on the unit sphere of R-d and A is an element of R-dxd is a non-singular matrix. When R has distribution function in the Weibull max-domain of attraction we say that the corresponding elliptical random vector is of Type III. For the bivariate set-up, Berman [Sojurns and Extremes of Stochastic Processes, Wadsworth & Brooks/Cole, 1992] obtained for Type III elliptical random vectors an interesting asymptotic approximation by conditioning on one component. In this paper we extend Berman's result to Type III elliptical random vectors in Rd. Further, we derive an asymptotic approximation for the conditional distribution of such random vectors.
Keywords
Asymptotic approximation, Elliptical random vectors, Conditional distribution, Weibull max-domain of attraction, Weak convergence
Web of science
Open Access
Yes
Create date
03/09/2010 11:36
Last modification date
20/08/2019 14:58
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