Hidden regular variation and the rank transform
Work
Year: 2005
Type: article
Abstract: Random vectors in the positive orthant whose distributions possess hidden regular variation are a subclass of those whose distributions are multivariate regularly varying with asymptotic independence.... more
Source: Advances in Applied Probability
Authors Janet E. Heffernan, Sidney I. Resnick
Institutions Lancaster University, Cornell University
Cites: 38
Cited by: 51
Related to: 10
FWCI: 4.182
Citation percentile (by year/subfield): 93.29
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Climate action
Open Access status: bronze