Limiting distributions of maxima under triangular schemes

DOI10.1016/J.JMVA.2010.06.006zbMath1198.62041OpenAlexW1973080387MaRDI QIDQ604350

Melanie Frick, Rolf-Dieter Reiss

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.06.006

zbMATH Keywords

spectral densityextreme value distribution functionslimiting distribution functionsresidual dependencetriangular schemes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Second-order asymptotics on distributions of maxima of bivariate elliptical arrays ⋮ Expansions and penultimate distributions of maxima of bivariate normal random vectors ⋮ Some notes on extremal discriminant analysis ⋮ Maxima of skew elliptical triangular arrays ⋮ Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays

Cites Work

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• Elliptical triangular arrays in the max-domain of attraction of Hüsler-Reiss distribution
• Maxima of normal random vectors: Between independence and complete dependence
• Statistics for near independence in multivariate extreme values
• Multivariate extreme‐value distributions with applications to environmental data
• Dependence measures for extreme value analyses

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