This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of componentwise maxima, the limiting upper copula, and a bivariate version of the classical peaks over threshold result
Generalized Pareto distributions with positive tail index arise from embedding a Gamma random variab...
AbstractIt is well known that the sample covariance is not an efficient estimator of the covariance ...
We establish sharp tail asymptotics for componentwise extreme values of bivariate Gaussian random ve...
AbstractA new class of bivariate distributions is introduced and studied, which encompasses Archimed...
A new class of bivariate distributions is introduced and studied, which encompasses Archimedean copu...
Recently there has been an increasing interest in applying elliptical distributions to risk manageme...
The thesis recalls the traditional theory of elliptically symmetric distributions. Their basic prope...
AbstractIn this paper the limits of elliptical copulas under univariate conditioning are characteriz...
International audienceWe investigate conditions for the existence of the limiting conditional distri...
International audienceThis paper deals with the problem of estimating the tail of a bivariate distri...
AbstractA well-known result in extreme value theory indicates that componentwise taken sample maxima...
In this paper, we investigate the asymptotic behavior of the component-wise maxima for two bivariate...
Recently there has been an increasing interest in applying elliptical distri-butions to risk managem...
AbstractLet {Xn,n⩾1} be iid elliptical random vectors in Rd,d≥2 and let I,J be two non-empty disjoin...
This paper explores the joint extreme-value behavior of discontinuous random variables. It is shown ...
Generalized Pareto distributions with positive tail index arise from embedding a Gamma random variab...
AbstractIt is well known that the sample covariance is not an efficient estimator of the covariance ...
We establish sharp tail asymptotics for componentwise extreme values of bivariate Gaussian random ve...
AbstractA new class of bivariate distributions is introduced and studied, which encompasses Archimed...
A new class of bivariate distributions is introduced and studied, which encompasses Archimedean copu...
Recently there has been an increasing interest in applying elliptical distributions to risk manageme...
The thesis recalls the traditional theory of elliptically symmetric distributions. Their basic prope...
AbstractIn this paper the limits of elliptical copulas under univariate conditioning are characteriz...
International audienceWe investigate conditions for the existence of the limiting conditional distri...
International audienceThis paper deals with the problem of estimating the tail of a bivariate distri...
AbstractA well-known result in extreme value theory indicates that componentwise taken sample maxima...
In this paper, we investigate the asymptotic behavior of the component-wise maxima for two bivariate...
Recently there has been an increasing interest in applying elliptical distri-butions to risk managem...
AbstractLet {Xn,n⩾1} be iid elliptical random vectors in Rd,d≥2 and let I,J be two non-empty disjoin...
This paper explores the joint extreme-value behavior of discontinuous random variables. It is shown ...
Generalized Pareto distributions with positive tail index arise from embedding a Gamma random variab...
AbstractIt is well known that the sample covariance is not an efficient estimator of the covariance ...
We establish sharp tail asymptotics for componentwise extreme values of bivariate Gaussian random ve...
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