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 [0, ∞] × (0, ∞].
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
