Mathematics – Probability
Scientific paper
2008-12-22
Journal of Multivariate Analysis. 101, 4, 926-935, 2010
Mathematics
Probability
11 pages
Scientific paper
10.1016/j.jmva.2009.10.004
In this paper we consider elliptical random vectors X in R^d,d>1 with stochastic representation A R U where R is a positive random radius independent of the random vector U which is uniformly distributed on the unit sphere of R^d and A is a given matrix. The main result of this paper is an asymptotic expansion of the tail probability of the norm of X derived under the assumption that R has distribution function is in the Gumbel or the Weibull max-domain of attraction.
No associations
LandOfFree
Asymptotics of the Norm of Elliptical Random Vectors does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Asymptotics of the Norm of Elliptical Random Vectors, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Asymptotics of the Norm of Elliptical Random Vectors will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-538335