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arxiv: 0708.1965 · v3 · submitted 2007-08-14 · 🧮 math.PR · math.ST· stat.TH

Tail Asymptotics and Estimation for Elliptical Distributions

classification 🧮 math.PR math.STstat.TH
keywords survivalasymptoticellipticaljointprobabilityrandomaspectsassociated
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Let (X,Y) be a bivariate elliptical random vector with associated random radius in the Gumbel max-domain of attraction. In this paper we obtain a second order asymptotic expansion of the joint survival probability P(X > x, Y> y) for x,y large. Further, based on the asymptotic bounds we discuss some aspects of the statistical modelling of joint survival probabilities and the survival conditional excess probability.

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