Abstract
A sub-model of multivariate regular variation called hidden regular variation facilitates more accurate estimation of joint tail probabilities in the presence of asymptotic independence. A related concept called hidden domain of attraction can sometimes offer similar estimation assistance in circumstances where hidden regular variation is absent. Examples and discussion illustrate strengths and limitations of this concept. We outline estimation techniques where applicable.
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S. Resnick and A. Mitra were partially supported by ARO Contract W911NF-10-1-0289 at Cornell University. S. Resnick also received support from NSA Grant H98230-11-1-0193.
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Mitra, A., Resnick, S.I. Modeling multiple risks: hidden domain of attraction. Extremes 16, 507–538 (2013). https://doi.org/10.1007/s10687-013-0171-8
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DOI: https://doi.org/10.1007/s10687-013-0171-8