Asymptotics of the norm of elliptical random vectors
| Autor: | Enkelejd Hashorva |
|---|---|
| Rok vydání: | 2010 |
| Předmět: |
Unit sphere
Statistics and Probability 60G70 Multivariate random variable Gaussian distribution Mathematics - Statistics Theory Statistics Theory (math.ST) Kotz Type distribution Combinatorics symbols.namesake Gumbel distribution FOS: Mathematics Weak convergence Mathematics Elliptical distribution Numerical Analysis Mathematical analysis Probability (math.PR) Zero (complex analysis) F-distribution Gumbel max-domain of attraction symbols Probability distribution Tail approximation Density convergence Statistics Probability and Uncertainty Asymptotic expansion Mathematics - Probability |
| Zdroj: | Journal of Multivariate Analysis. 101(4):926-935 |
| ISSN: | 0047-259X |
| DOI: | 10.1016/j.jmva.2009.10.004 |
| Popis: | In this paper we consider elliptical random vectors X in R^d,d>1 with stochastic representation A R U where R is a positive random radius independent of the random vector U which is uniformly distributed on the unit sphere of R^d and A is a given matrix. The main result of this paper is an asymptotic expansion of the tail probability of the norm of X derived under the assumption that R has distribution function is in the Gumbel or the Weibull max-domain of attraction. 11 pages |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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