Estimation of conditional laws given an extreme component
نویسندگان
چکیده
منابع مشابه
Estimation of conditional laws given an extreme component
Let (X,Y ) be a bivariate random vector. The estimation of a probability of the form P (Y ≤ y | X > t) is challenging when t is large, and a fruitful approach consists in studying, if it exists, the limiting conditional distribution of the random vector (X,Y ), suitably normalized, given that X is large. There already exists a wide literature on bivariate models for which this limiting distribu...
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ژورنال
عنوان ژورنال: Extremes
سال: 2010
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-010-0122-6