Hidden regular variation and the rank transform.

Heffernan, J. E. and Resnick, S. I. (2005) Hidden regular variation and the rank transform. Advances in Applied Probability, 37 (2). pp. 393-414. ISSN 1475-6064

Abstract

Random vectors in the positive orthant whose distributions possess hidden regular variation are a subclass of those whose distributions are multivariate regularly varying with asymptotic independence. The concept is an elaboration of the coefficient of tail dependence of Ledford and Tawn. We show that the rank transform that brings unequal marginals to the standard case also preserves the hidden regular variation. We discuss applications of the results to two examples, one involving flood risk and the other Internet data.