Extreme behavior of bivariate elliptical distributions |
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| Authors: | Alexandru V Asimit |
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| Institution: | Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario, Canada N6A 5B7 |
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| Abstract: | This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of componentwise maxima, the limiting upper copula, and a bivariate version of the classical peaks over threshold result. |
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| Keywords: | Componentwise maxima Elliptical distribution Pickands&rsquo representation Regular variation Threshold exceedances |
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