Statistics and Its Interface
Volume 7 (2014)
Special Issue on Extreme Theory and Application (Part I)
Guest Editors: Yazhen Wang and Zhengjun Zhang
Gaussian approximation of perturbed chi-square risks
Pages: 363 – 373
In this paper we show that the conditional distribution of perturbed chi-square risks can be approximated by certain distributions including the Gaussian distributions. Our results are of interest for conditional extreme value models and multivariate extremes as shown in three applications.
Gaussian approximation, chi-square distribution, Berman’s sojourn limit theorem, conditional limit law, Hüsler-Reiss distribution
2010 Mathematics Subject Classification
Primary 60G15. Secondary 60G70.