Higher-order expansions of distributions of maxima in a Hüsler-Reiss model

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serval:BIB_199989A40617
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
Journal
Methodology and Computing in Applied Probability
Author(s)
Hashorva E., Peng Z., Weng Z.
ISSN
1387-5841 (Print)
1573-7713 (Electronic)
Publication state
Published
Issued date
03/2016
Peer-reviewed
Oui
Volume
18
Number
1
Pages
181-196
Language
english
Abstract
The max-stable Husler-Reiss distribution which arises as the limit distribution of maxima of bivariate Gaussian triangular arrays has been shown to be useful in various extreme value models. For such triangular arrays, this paper establishes higher-order asymptotic expansions of the joint distribution of maxima under refined Husler-Reiss conditions. In particular, the rate of convergence of normalized maxima to the Husler-Reiss distribution is explicitly calculated. Our findings are supported by the results of a numerical analysis.
Keywords
Husler-Reiss max-stable distribution, Higher-order asymptotic expansion, Triangular arrays, Gaussian random vector
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12/03/2014 9:12
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20/08/2019 13:50
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