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Document type:
Report / Forschungsbericht 
Author(s):
Resnick, S. 
Title:
Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws 
Abstract:
We attempt to bring some modest unity to three subareas of heavy tail analysis and extreme value theory: limit laws for componentwise maxima of iid random variables; hidden regular variation and asymptotic independence; conditioned limit laws when one component of a random vector is extreme. The common theme is multivariate regular variation on a cone and the three cases cited come from specifying the cones [0,∞]d\{0}; (0,∞]d; and [0,∞]Χ £ (0,∞]. 
Keywords:
Regular variation, risk, domain of attraction, copula, Pareto 
Dewey Decimal Classification:
510 
Contracting organization:
John-von-Neumann Lectures 
Year:
2007 
Language:
en 
Semester:
SS 07 
Format:
Text