Limit Theorem for the Maximum of Random Variables Connected by IT-Copulas of Student's $t$-Distribution

DOI10.1137/S0040585X97T987260zbMath1342.60035OpenAlexW1211495091MaRDI QIDQ2944451

E. A. Savinov

Publication date: 2 September 2015

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t987260

zbMATH Keywords

copulasconditional distributionindependence transformationMAX-stable distributiontriangular array scheme

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05)

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On extremal indices greater than one for a scheme of series, Conditional Quantile Reproducibility of Multivariate Distributions and Simplified Pair Copula Construction

Cites Work

• Extremes and related properties of random sequences and processes
• Asymptotic properties of conditional quantiles of the Cauchy distribution in Hilbert space
• The Strong Law of Large Numbers for a Triangular Array Scheme of Conditional Distributions of Stable Elliptically Contoured Measures
• Remarks on a Multivariate Transformation
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