Multivariate Regular Variation on Cones: Application to Extreme Values, Hidden Regular Variation and Conditioned Limit Laws
Abstract
We attempt to bring some modest unity to three subareas of heavy tail analysis and extreme value theory: limit laws for componentwise maxima of iid random variables;hidden regular variation and asymptotic independence;conditioned limit laws when one component of a random vector is extreme. The common theme is multivariate regular variation on a cone and the three cases cited come from specifying the cones and .
Cite
@article{arxiv.0712.3442,
title = {Multivariate Regular Variation on Cones: Application to Extreme Values, Hidden Regular Variation and Conditioned Limit Laws},
author = {Sidney I. Resnick},
journal= {arXiv preprint arXiv:0712.3442},
year = {2009}
}
Comments
To appear in a Special Volume of Stochastics: An International Journal of Probability and Stochastic Processes (http://www.informaworld.com/openurl?genre=journal%26issn=1744-2508) edited by N.H. Bingham and I.V. Evstigneev which will be reprinted as Volume 57 of the IMS Lecture Notes Monograph Series (http://imstat.org/publications/lecnotes.htm)