Article ID Journal Published Year Pages File Type
1145464 Journal of Multivariate Analysis 2015 12 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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