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Extremes of asymptotically spherical and elliptical random vectors [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)E. Hashorva
PublisherElsevier
ISBN / ASINB000RR1T7O
ISBN-13978B000RR1T78
AvailabilityAvailable for download now
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
In this paper we introduce asymptotically spherical and elliptical random vectors. Based on results of Berman [Berman, M.S., 1992. Sojurns and Extremes of Stochastic Processes. Wadsworth & Brooks/Cole], we study the asymptotic behaviour of the sample extremes for both these new classes of random vectors. Related results for the coefficient of upper tail dependence are further derived.
Description:
In this paper we introduce asymptotically spherical and elliptical random vectors. Based on results of Berman [Berman, M.S., 1992. Sojurns and Extremes of Stochastic Processes. Wadsworth & Brooks/Cole], we study the asymptotic behaviour of the sample extremes for both these new classes of random vectors. Related results for the coefficient of upper tail dependence are further derived.
