Existence of multivariate max-universal laws

DOI10.1007/S10687-004-3483-XMaRDI QIDQ2488466zbMATH OpenOpenAlexFDO

Authors Peter Kern

Publication date 24 May 2006

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-004-3483-x

zbMATH Keywords

generalized domain of partial max-attraction max-infinite divisibility max-semistable distribution

Mathematics Subject Classification ID

Distribution theory (60E99) Extreme value theory; extremal stochastic processes (60G70)

Review text

A multivariate distribution function \(F:R^d\to[0,1]\) belongs to a domain of partial max-attraction of d.f. \(G\) iff for some \(k_n\to\infty\), \(a_n\in R\), \(b_n\in R^d\), \((F(a_n x+b_n))^{k_n}\to G(x)\) at all continuity points \(x\) of \(G\). The author demonstrates that there exists a max-universal d.f. \(F\) which belongs to partial domains of max-attraction of all max-infinitely divisible laws \(G\). The proof follows the outline of the corresponding result for sums of i.i.d. random vectors.

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