Tail Asymptotics and Estimation for Elliptical Distributions
نویسنده
چکیده
Abstract. Let (X, Y ) be a bivariate elliptical random vector with associated random radius in the Gumbel maxdomain 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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