Limiting distributions of maxima under triangular schemes
A well-known result in extreme value theory indicates that componentwise taken sample maxima of random vectors are asymptotically independent under weak conditions. However, in important cases this independence is attained at a very slow rate so that the residual dependence structure plays a significant role. In the present article, we deduce limiting distributions of maxima under triangular schemes of random vectors. The residual dependence is expressed by a technical condition imposed on the spectral expansion of the underlying distribution.
Year of publication: |
2010
|
---|---|
Authors: | Frick, Melanie ; Reiss, Rolf-Dieter |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 10, p. 2346-2357
|
Publisher: |
Elsevier |
Keywords: | Extreme value distribution functions Spectral density Limiting distribution functions Triangular schemes Residual dependence |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Expansions of multivariate Pickands densities and testing the tail dependence
Frick, Melanie, (2009)
-
Some notes on extremal discriminant analysis
Manjunath, B.G., (2012)
-
Expansions and penultimate distributions of maxima of bivariate normal random vectors
Frick, Melanie, (2013)
- More ...