A sum characterization of hidden regular variation with likelihood inference via expectation-maximization
隐含正则变差的求和刻画与基于 EM 的似然推断
A fundamental deficiency of classical multivariate extreme value theory is the inability to distinguish between asymptotic independence and exact independence. In this work, we examine multivariate threshold modelling in the framework of regular variation on cones. Tail dependence is described by a limiting measure, which in some cases is degenerate on joint tail regions despite strong subasymptotic dependence in such regions. Hidden regular variation, a higher-order tail…