On the regular variation of ratios of jointly Fréchet random variables
نویسندگان
چکیده
منابع مشابه
On the Regular Variation of Ratios of Jointly Fréchet Random Variables
We provide a necessary and sufficient condition for the ratio of two jointly α-Fréchet random variables to be regularly varying. This condition is based on the spectral representation of the joint distribution and is easy to check in practice. Our result motivates the notion of the ratio tail index, which quantifies dependence features that are not characterized by the tail dependence index. As...
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ژورنال
عنوان ژورنال: Extremes
سال: 2011
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-011-0133-y