Conditional Limits of W_p scale Mixture Distributions

Abstract

In this paper we introduce the class of W_p scale mixture random vectors with a particular radial decomposition and a independent splitting property specified by some random variable W_p, and a positive constant p. We derive several conditional limit results assuming that the distribution of the random radius is in the max-domain of attraction of a univariate extreme value distribution and W_p has a certain tail asymptotic behaviour. As an application we obtain the joint asymptotic distribution of concomitants of order statics considering certain bivariate W_p scale miture samples.

14 pages

References in corpus (4)

• Asymptotics of Random Contractions
• Scaling limits for random fields with long-range dependence
• Estimation of bivariate excess probabilities for elliptical models
• Conditional Limit Results for Type I Polar Distributions

Cited by in corpus (5)

• Exact Asymptotics of Bivariate Scale Mixture Distributions
• On the residual dependence index of elliptical distributions
• Minima and maxima of elliptical arrays and spherical processes
• Estimation of conditional laws given an extreme component
• Asymptotics of the convex hull of spherical samples