serval:BIB_AF1B1B2C592C
Extremes of independent chi-square random vectors
10.1007/s10687-010-0125-3
000300582700002
Hashorva
E.
author
Kabluchko
Z.
author
Wübker
A.
author
article
2012
Extremes
1386-1999
1572-915X
journal
15
1
35-42
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.
Extremes
Multivariate chi-square distribution
Gaussian random vector
Husler-Reiss distribution
Max-stable distribution
Conditional limit result
eng
60_published
true
peer-reviewed
University of Lausanne
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