Limit laws for random vectors with an extreme component

Annals of Applied Probability

Volumn 17, Issue 2, 2007, Pages 537-571

  Heffernan, Janet E ^a,c   Resnick, Sidney I ^b,d  

^a LANCASTER UNIVERSITY   (United Kingdom)

^b Department of Molecular Biology and Genetics

^c LANCASTER UNIVERSITY   (United Kingdom)

^d School of Chemical and Molecular Engineering   (United States)

Author keywords

Asymptotic independence; Coefficient of tail dependence; Conditional models; Heavy tails; Hidden regular variation; Regular variation

Indexed keywords

EID: 40249096859     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051606000000835     Document Type: Article

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