Products in Conditional Extreme Value Model

Hazra, Rajat Subhra ; Maulik, Krishanu (2011) Products in Conditional Extreme Value Model arXiv preprint arXiv:1104.1688 .

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The classical multivariate extreme value theory tries to capture the extremal dependence between the components under a multivariate domain of attraction condition and it requires each of the components to be in the domain of attraction of a univariate extreme value distribution as well. The multivariate extreme value (MEV) model has a rich theory but has some limitations as it fails to capture the dependence structure in presence of asymptotic independence. A different approach to MEV was given by Heffernan and Tawn (2004), where they examined MEV distributions by conditioning on one of the components to be extreme. Here we assume one of the components to be in Frech\'et or Weibull domain of attraction and study the behavior of the product of the components under this conditional extreme value model.

Item Type:Article
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Keywords:Regular Variation; Domain Of Attraction; Generalized Extreme Value Distribution; Heavy Tails; Asymptotic Independence; Conditional Extreme Value Model; Product Of Random Variable.
ID Code:121107
Deposited On:09 Jul 2021 09:01
Last Modified:09 Jul 2021 09:01

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