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Conditional limiting distribution of Type III elliptical random vectors
Journal of Multivariate Analysis
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.
Asymptotic approximation, Elliptical random vectors, Conditional distribution, Weibull max-domain of attraction, Weak convergence
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