ABSTRACT


Hidden Regular Variation
Krishanu Maulik, April 2, 2003
Asymptotic independence is used extensively in finance, data network analysis and environmental statistics. Roughly speaking, the idea of asymptotic independence means that a large value in one component is unlikely to be accompanied by large values in other components. However, the class of asymptotic independence is too broad a class. For example, jointly normal random variables, which are not perfectly correlated, are asymptotically independent. So we need a closer and deeper look at the concept of the asymptotic independence. Hidden regular variation was defined by Resnick (2002) as a semi-parametric subfamily of the family of distributions possessing multivariate regular variation and asymptotic independence. We shall discuss the concept of hidden regular variation in details along with some other parametric refinements of asymptotic independence.
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Igor Grubisic (grubisic@math.uu.nl)