Extremes of Aggregated Dirichlet Risks
Probability
2014-12-12 v2 Statistics Theory
Statistics Theory
Abstract
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.
Keywords
Cite
@article{arxiv.1404.3304,
title = {Extremes of Aggregated Dirichlet Risks},
author = {Enkelejd Hashorva},
journal= {arXiv preprint arXiv:1404.3304},
year = {2014}
}
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published version