A novel class of bivariate max-stable distributions

Details

Serval ID
serval:BIB_06CB51B29AA1
Type
Article: article from journal or magazin.
Collection
Publications
Title
A novel class of bivariate max-stable distributions
Journal
Statistics & Probability Letters
Author(s)
Hashorva E.
ISSN
0167-7152
Publication state
Published
Issued date
2006
Peer-reviewed
Oui
Volume
76
Number
10
Pages
1047-1055
Language
english
Abstract
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.
Keywords
Maxima of triangular arrays, Gumbel max-domain of attraction, Max-stable distributions, Husler-Reiss distribution, Weak convergence
Web of science
Create date
03/09/2010 11:39
Last modification date
20/08/2019 13:29
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