Extremes of asymptotically spherical and elliptical random vectors

被引：17

作者：

Hashorva, E

机构：

[1] Allianz Suisse Insurance Co, CH-3001 Bern, Switzerland

[2] Univ Bern, Dept Math Stat & Actuarial Sci, CH-3012 Bern, Switzerland

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2005年 / 36卷 / 03期

关键词：

asymptotically spherical random vectors; asymptotically elliptical random vectors; multivariate extremes; max-domain of attraction; coefficient of upper tail dependence;

D O I：

10.1016/j.insmatheco.2005.01.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：285 / 302

页数：18

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