Extreme behaviour for bivariate elliptical distributions

Belkacem Abdous; Anne Laure Fougères; Kilani Ghoudi

doi:10.1002/cjs.5540330302

Extreme behaviour for bivariate elliptical distributions

Belkacem Abdous, Anne Laure Fougères, Kilani Ghoudi

Research output: Contribution to journal › Article › peer-review

34 Citations (Scopus)

Abstract

The authors examine the asymptotic behaviour of conditional threshold exceedance probabilities for an elliptically distributed pair (X,Y) of random variables. More precisely, they investigate the limiting behaviour of the conditional distribution of Y given that X becomes extreme. They show that this behaviour differs between regularly and rapidly varying tails.

Original language	English
Pages (from-to)	317-334
Number of pages	18
Journal	Canadian Journal of Statistics
Volume	33
Issue number	3
DOIs	https://doi.org/10.1002/cjs.5540330302
Publication status	Published - Sept 2005

Keywords

Conditional distribution
Elliptical distribution
Exceedance probability
Extremal behaviour
Tail dependence
Threshold

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1002/cjs.5540330302

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title = "Extreme behaviour for bivariate elliptical distributions",

abstract = "The authors examine the asymptotic behaviour of conditional threshold exceedance probabilities for an elliptically distributed pair (X,Y) of random variables. More precisely, they investigate the limiting behaviour of the conditional distribution of Y given that X becomes extreme. They show that this behaviour differs between regularly and rapidly varying tails.",

keywords = "Conditional distribution, Elliptical distribution, Exceedance probability, Extremal behaviour, Tail dependence, Threshold",

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KW - Elliptical distribution

KW - Exceedance probability

KW - Extremal behaviour

KW - Tail dependence

KW - Threshold

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Extreme behaviour for bivariate elliptical distributions

Abstract

Keywords

ASJC Scopus subject areas

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