Extremes of independent chi-square random vectors

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ID Serval
serval:BIB_AF1B1B2C592C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Extremes of independent chi-square random vectors
Périodique
Extremes
Auteur⸱e⸱s
Hashorva E., Kabluchko Z., Wübker A.
ISSN
1386-1999 (Print)
1572-915X (Electronic)
Statut éditorial
Publié
Date de publication
2012
Peer-reviewed
Oui
Volume
15
Numéro
1
Pages
35-42
Langue
anglais
Résumé
We prove that the componentwise maximum of an i.i.d. triangular array of chi-square random vectors converges in distribution, under appropriate assumptions on the dependence within the vectors and after normalization, to the max-stable Husler-Reiss distribution. As a by-product we derive a conditional limit result.
Mots-clé
Extremes, Multivariate chi-square distribution, Gaussian random vector, Husler-Reiss distribution, Max-stable distribution, Conditional limit result
Web of science
Open Access
Oui
Création de la notice
02/11/2010 8:44
Dernière modification de la notice
14/02/2022 8:56
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