- Stoch. Syst.
- Volume 5, Number 2 (2015), 195-238.
Models with hidden regular variation: Generation and detection
We review the notions of multivariate regular variation (MRV) and hidden regular variation (HRV) for distributions of random vectors and then discuss methods for generating models exhibiting both properties concentrating on the non-negative orthant in dimension two. Furthermore we suggest diagnostic techniques that detect these properties in multivariate data and indicate when models exhibiting both MRV and HRV are plausible fits for the data. We illustrate our techniques on simulated data, as well as two real Internet data sets.
Stoch. Syst., Volume 5, Number 2 (2015), 195-238.
Received: March 2014
First available in Project Euclid: 23 December 2015
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 28A33: Spaces of measures, convergence of measures [See also 46E27, 60Bxx] 60G17: Sample path properties 60G51: Processes with independent increments; Lévy processes 60G70: Extreme value theory; extremal processes
Das, Bikramjit; Resnick, Sidney I. Models with hidden regular variation: Generation and detection. Stoch. Syst. 5 (2015), no. 2, 195--238. doi:10.1214/14-SSY141. https://projecteuclid.org/euclid.ssy/1450879454