Conditioning on an extreme component: Model consistency with regular variation on cones

Bernoulli

Volumn 17, Issue 1, 2011, Pages 226-252

  Das, Bikramjit ^a   Resnick, Sidney I ^b  

^a ETH ZURICH   (Switzerland)

^b School of Operations Research and Industrial Engineering   (United States)

Author keywords

Asymptotic independence; Conditional extreme value model; Domain of attraction; Regular variation

Indexed keywords

EID: 79951616754     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/10-BEJ271     Document Type: Article

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