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Cambridge University Press, Journal of Applied Probability, 01(53), p. 130-145

DOI: 10.1017/jpr.2015.14

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Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions

Journal article published in 2016 by Miriam Isabel Seifert
This paper was not found in any repository, but could be made available legally by the author.
This paper was not found in any repository, but could be made available legally by the author.

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Abstract

Abstract By considering the extreme behavior of bivariate random vectors with a polar representation R(u(T), v(T)), it is commonly assumed that the radial component R and the angular component T are stochastically independent. We investigate how to relax this rigid independence assumption such that conditional limit theorems can still be deduced. For this purpose, we introduce a novel measure for the dependence structure and present convenient criteria for validity of limit theorems possessing a geometrical meaning. Thus, our results verify a stability of the available limit results, which is essential in applications where the independence of the polar components is not necessarily present or exactly fulfilled.