A novel class of bivariate max-stable distributions

Détails

ID Serval
serval:BIB_06CB51B29AA1
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
A novel class of bivariate max-stable distributions
Périodique
Statistics & Probability Letters
Auteur⸱e⸱s
Hashorva E.
ISSN
0167-7152
Statut éditorial
Publié
Date de publication
2006
Peer-reviewed
Oui
Volume
76
Numéro
10
Pages
1047-1055
Langue
anglais
Résumé
In this paper we consider bivariate triangular arrays given in terms of linear transformations of asymptotically spherical bivariate random vectors. We show under certain restrictions that the componentwise maxima of such arrays is attracted by a bivariate max-stable distribution function with three parameters. This new class of max-stable distributions includes the bivariate max-stable Husler-Reiss distribution function for a special choice of parameters.
Mots-clé
Maxima of triangular arrays, Gumbel max-domain of attraction, Max-stable distributions, Husler-Reiss distribution, Weak convergence
Web of science
Création de la notice
03/09/2010 11:39
Dernière modification de la notice
20/08/2019 13:29
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