Extremes of aggregated Dirichlet risks

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Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Extremes of aggregated Dirichlet risks
Journal
Journal of Multivariate Analysis
Author(s)
Hashorva  E.
ISSN
0047-259X (Print)
Publication state
Published
Issued date
01/2015
Peer-reviewed
Oui
Volume
133
Pages
334-345
Language
english
Abstract
The class of Dirichlet random vectors is central in numerous probabilistic and statistical applications. The main result of this paper derives the exact tail asymptotics of the aggregated risk of powers of Dirichlet random vectors when the radial component has df in the Gumbel or the Weibull max-domain of attraction. We present further results for the joint asymptotic independence and the max sum equivalence.
Keywords
Dirichlet distribution, Gumbel max-domain of attraction, Weibull max-domain of attraction, Tail asymptotics, Risk aggregation, Davis-Resnick tail property
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29/09/2014 11:36
Last modification date
20/08/2019 15:26
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