Multivariate Regular Variation on Cones: Application to Extreme Values, Hidden Regular Variation and Conditioned Limit Laws
Resnick, Sidney I.
Original · EN
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 [0,∞]ᵈ {0};(0,∞]ᵈ; and [0,∞]× (0,∞].
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