Accession Number:

ADA585760

Title:

Modeling Multiple Risks: Hidden Domain of Attraction

Descriptive Note:

Technical rept.

Corporate Author:

CORNELL UNIV ITHACA NY OFFICE OF SPONSORED PROGRAMS

Personal Author(s):

Report Date:

2012-01-01

Pagination or Media Count:

22.0

Abstract:

Hidden regular variation is a sub-model of multivariate regular variation and facilitates accurate estimation of joint tail probabilities. We generalize the model of hidden regular variation to what we call hidden domain of attraction. We exhibit examples that illustrate the need for a more general model and discuss detection and estimation techniques.

Subject Categories:

  • Theoretical Mathematics
  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE