Tail Asymptotics and Estimation for Elliptical Distributions

Details Tail Asymptotics and Estimation for Elliptical Distributions Tail Asymptotics and Estimation for Elliptical Distributions

2007-08-14

arxiv.org/abs/0708.1965v3

Mathematics

Probability

14 pages, minor changes, typos removed

Scientific paper

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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