Extreme Behavior of Multivariate Phase-Type Distributions

This paper investigates the limiting distributions of the component-wise maxima and minima of suitably normalized iid multivariate phase-type random vectors. In the case of maxima, a large parametric class of multivariate extreme value (MEV) distributions is obtained. The flexibility of this new class is exemplified in the bi-variate setup. For minima, it is shown that the dependence structure of the Marshall-Olkin class arises in the limit

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Year of publication:	2013
Authors:	Asimit, Alexandru Vali
Other Persons:	Jones, Bruce L. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Finanzmathematik \| Mathematical finance \| Multivariate Analyse \| Multivariate analysis

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Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Insurance: Mathematics and Economics, Vol. 41, No. 2, 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 16, 2006 erstellt
Classification:	C10 - Econometric and Statistical Methods: General. General ; C60 - Mathematical Methods and Programming. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013076371