کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146179 957498 2010 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotics of the norm of elliptical random vectors
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Asymptotics of the norm of elliptical random vectors
چکیده انگلیسی

In this paper we consider elliptical random vectors X in Rd,d≥2Rd,d≥2 with stochastic representation ARU, where RR is a positive random radius independent of the random vector U which is uniformly distributed on the unit sphere of RdRd and A∈Rd×dA∈Rd×d is a given matrix. Denote by ‖⋅‖‖⋅‖ the Euclidean norm in RdRd, and let FF be the distribution function of RR. The main result of this paper is an asymptotic expansion of the probability P{‖X‖>u} for FF in the Gumbel or the Weibull max-domain of attraction. In the special case that X is a mean zero Gaussian random vector our result coincides with the one derived in Hüsler et al. (2002) [1].

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 101, Issue 4, April 2010, Pages 926–935
نویسندگان
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