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On the Regular Variation of Ratios of Jointly Frechet Random Variables
Regular variation multivariate Frechet distribution spectral
2011/3/18
We provide a necessary and sufficient condition for the ratio of two jointly alpha-Frechet random variables to be regularly varying. This condition is based on the spectral representation of the joint...
Hidden Regular Variation: Detection and Estimation
Hidden Regular Variation Detection Estimation
2010/10/18
Hidden regular variation defines a subfamily of distributions satisfying multivariate regular variation on $\mathbb{E} = [0, \infty]^d \backslash \{(0,0, ..., 0) \} $ and models another regular varia...
Hidden Regular Variation:Detection and Estimation
Regular variation vague convergence weak convergence spectral measure risk sets
2010/3/9
Hidden regular variation defines a subfamily of distributions satisfying multivariate
regular variation on E = [0,1]d\{(0, 0, · · · , 0)} and models another regular variation on the sub-cone E(2) = E...
Multivariate regular variation of heavy-tailed Markov chains
autoregressive conditional heteroskedasticity extremevalue distribution Markov chain multivariate regular variation
2010/4/26
The upper extremes of a Markov chain with regulary varying stationary
marginal distribution are known to exhibit under general conditions
a multiplicative random walk structure called the tail chain...