A new family of bivariate max-infinitely divisible distributions

Details

Serval ID
serval:BIB_C2DB7AF7CC11
Type
Article: article from journal or magazin.
Collection
Publications
Title
A new family of bivariate max-infinitely divisible distributions
Journal
Metrika
Author(s)
Hashorva E.
ISSN
0026-1335
1435-926X ([electronic])
Publication state
Published
Issued date
2008
Peer-reviewed
Oui
Volume
68
Number
3
Pages
289-304
Language
english
Abstract
In this article we discuss the asymptotic behaviour of the componentwise maxima for a specific bivariate triangular array. Its components are given in terms of linear transformations of bivariate generalised symmetrised Dirichlet random vectors introduced in Fang and Fang (Statistical inference in elliptically contoured and related distributions. Allerton Press, New York, 1990). We show that the componentwise maxima of such triangular arrays is attracted by a bivariate max-infinitely divisible distribution function, provided that the associated random radius is in the Weibull max-domain of attraction.
Keywords
Extremes of triangular arrays, Weibull max-domain of attraction, Max-infinitely divisible distribution, Weak convergence, Generalised symmetrised Dirichlet distributions, Asymptotically spherical random vectors
Web of science
Create date
03/09/2010 11:28
Last modification date
20/08/2019 16:38
Usage data