Extremes of aggregated Dirichlet risks

Enkelejd Hashorva

Journal of Multivariate Analysis, 2015, vol. 133, issue C, 334-345

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.

Keywords: Dirichlet distribution; Gumbel max-domain of attraction; Weibull max-domain of attraction; Tail asymptotics; Risk aggregation; Davis–Resnick tail property (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2014.09.018

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