The limiting distribution of a bivariate random vector under univariate truncation

F. Durante (), C. Ignazzi () and P. Jaworski ()
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F. Durante: Università del Salento
C. Ignazzi: Università del Salento
P. Jaworski: University of Warsaw

Statistical Papers, 2025, vol. 66, issue 2, No 9, 28 pages

Abstract: Abstract The dependence structure in the tails of bivariate random vectors is studied by means of the copula representation. In particular, asymptotic results for the distribution of a random pair under univariate truncation is proved in the spirit of multivariate extensions of the Pickands-Balkema-de Haan Theorem.

Keywords: Copula; Extreme-value distributions; Limit distribution; 62H05; 60G70 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00362-025-01663-4

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