Extremes of aggregated Dirichlet risks

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.

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Year of publication:	2015
Authors:	Hashorva, Enkelejd
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 133.2015, C, p. 334-345
Publisher:	Elsevier
Subject:	Dirichlet distribution \| Gumbel max-domain of attraction \| Weibull max-domain of attraction \| Tail asymptotics \| Risk aggregation \| Davis–Resnick tail property

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011116239