Tail Asymptotics and Estimation for Elliptical Distributions
Probability
2008-05-15 v3 Statistics Theory
Statistics Theory
Abstract
Let (X,Y) be a bivariate elliptical random vector with associated random radius in the Gumbel max-domain of attraction. In this paper we obtain a second order asymptotic expansion of the joint survival probability P(X > x, Y> y) for x,y large. Further, based on the asymptotic bounds we discuss some aspects of the statistical modelling of joint survival probabilities and the survival conditional excess probability.
Cite
@article{arxiv.0708.1965,
title = {Tail Asymptotics and Estimation for Elliptical Distributions},
author = {Enkelejd Hashorva},
journal= {arXiv preprint arXiv:0708.1965},
year = {2008}
}
Comments
14 pages, minor changes, typos removed