Asymptotic test for independence of extreme values (Q1324778): Difference between revisions
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Property / cites work: Bivariate CDF iterations and asymptotic independence / rank | |||
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Latest revision as of 11:13, 30 July 2024
scientific article
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English | Asymptotic test for independence of extreme values |
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Asymptotic test for independence of extreme values (English)
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26 July 1994
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Let \((X_ 1,Y_ 1),(X_ 2,Y_ 2),\dots\) be a sequence of independent random vectors with a common distribution \(L\) with marginal \(R\) and \(S\) (in short, we write \(L\in{\mathcal M}(R,S))\). Let \(R\) and \(S\) be such that with suitable norming constants \(a_ n\), \(b_ n\), \(c_ n\) and \(d_ n\) the random variables \[ X(n)= (\max \{X_ 1,\dots,X_ n\}- b_ n)a_ n^{-1} \qquad \text{and} \qquad Y(n)= (\max \{Y_ 1,\dots,Y_ n\}- c_ n)d_ n^{-1} \] have nondegenerate limiting distributions \(G\) and \(H\), respectively. Assuming that \((X(n),Y(n))\) converges in distribution to some \(F\in {\mathcal M}(G,H)\) we study conditions that will assure \(F=GH\).
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asymptotic test
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independence of extreme values
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nondegenerate limiting distributions
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