Asymptotics for Kotz Type III Elliptical Distributions
Probability
2013-09-25 v1 Statistics Theory
Statistics Theory
Abstract
In this paper we derive the tail asymptotics of a Kotz Type III elliptical random vector. As an application of our asymptotic expansion we derive an approximation for the conditional excess distribution. Furthermore, we discuss the asymptotic dependence of Kotz Type III triangular arrays and provide some details on the estimation of conditional excess distribution and survivor function.
Keywords
Cite
@article{arxiv.0811.0662,
title = {Asymptotics for Kotz Type III Elliptical Distributions},
author = {Enkelejd Hashorva},
journal= {arXiv preprint arXiv:0811.0662},
year = {2013}
}
Comments
10 pages