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Hidden regular variation and the rank transform.

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Hidden regular variation and the rank transform. / Heffernan, J. E.; Resnick, S. I.
In: Advances in Applied Probability, Vol. 37, No. 2, 2005, p. 393-414.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Heffernan, JE & Resnick, SI 2005, 'Hidden regular variation and the rank transform.', Advances in Applied Probability, vol. 37, no. 2, pp. 393-414. https://doi.org/10.1239/aap/1118858631

APA

Heffernan, J. E., & Resnick, S. I. (2005). Hidden regular variation and the rank transform. Advances in Applied Probability, 37(2), 393-414. https://doi.org/10.1239/aap/1118858631

Vancouver

Heffernan JE, Resnick SI. Hidden regular variation and the rank transform. Advances in Applied Probability. 2005;37(2):393-414. doi: 10.1239/aap/1118858631

Author

Heffernan, J. E. ; Resnick, S. I. / Hidden regular variation and the rank transform. In: Advances in Applied Probability. 2005 ; Vol. 37, No. 2. pp. 393-414.

Bibtex

@article{78d29fcf4c6d45e8ac925db7a3c14640,
title = "Hidden regular variation and the rank transform.",
abstract = "Random vectors in the positive orthant whose distributions possess hidden regular variation are a subclass of those whose distributions are multivariate regularly varying with asymptotic independence. The concept is an elaboration of the coefficient of tail dependence of Ledford and Tawn. We show that the rank transform that brings unequal marginals to the standard case also preserves the hidden regular variation. We discuss applications of the results to two examples, one involving flood risk and the other Internet data.",
keywords = "Heavy tail, regular variation, Pareto tail, coefficient of tail dependence, hidden regular variation, rank transform, asymptotic independence, Internet traffic, flood risk",
author = "Heffernan, {J. E.} and Resnick, {S. I.}",
year = "2005",
doi = "10.1239/aap/1118858631",
language = "English",
volume = "37",
pages = "393--414",
journal = "Advances in Applied Probability",
issn = "1475-6064",
publisher = "Cambridge University Press",
number = "2",

}

RIS

TY - JOUR

T1 - Hidden regular variation and the rank transform.

AU - Heffernan, J. E.

AU - Resnick, S. I.

PY - 2005

Y1 - 2005

N2 - Random vectors in the positive orthant whose distributions possess hidden regular variation are a subclass of those whose distributions are multivariate regularly varying with asymptotic independence. The concept is an elaboration of the coefficient of tail dependence of Ledford and Tawn. We show that the rank transform that brings unequal marginals to the standard case also preserves the hidden regular variation. We discuss applications of the results to two examples, one involving flood risk and the other Internet data.

AB - Random vectors in the positive orthant whose distributions possess hidden regular variation are a subclass of those whose distributions are multivariate regularly varying with asymptotic independence. The concept is an elaboration of the coefficient of tail dependence of Ledford and Tawn. We show that the rank transform that brings unequal marginals to the standard case also preserves the hidden regular variation. We discuss applications of the results to two examples, one involving flood risk and the other Internet data.

KW - Heavy tail

KW - regular variation

KW - Pareto tail

KW - coefficient of tail dependence

KW - hidden regular variation

KW - rank transform

KW - asymptotic independence

KW - Internet traffic

KW - flood risk

U2 - 10.1239/aap/1118858631

DO - 10.1239/aap/1118858631

M3 - Journal article

VL - 37

SP - 393

EP - 414

JO - Advances in Applied Probability

JF - Advances in Applied Probability

SN - 1475-6064

IS - 2

ER -