A note on the representation of parametric models for multivariate extremes (Q626291)
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English | A note on the representation of parametric models for multivariate extremes |
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A note on the representation of parametric models for multivariate extremes (English)
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22 February 2011
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The author extends the definition of bivariate extremal logistic distribution to the \(d\)-dimensional case. A random variable \(W=(W_1,\dots,W_d)\) on the standard simplex \(S_d\) in \(\mathbb R^d\) has extremal logistic distribution (ELD) with parameters \(\alpha_1\),\dots, \(\alpha_d\) if it is a solution to \[ {W_j\over W_d}={C_j U_j^{-\alpha_j}\over C_d U_d^{-\alpha_d}},\;j=1,\dots, d, \] where \(C_j=\Gamma(d-\alpha_j)/\Gamma(1-\alpha_j)\), \(U=(U_1,\dots,U_d)\) has density \[ h_U(u)={1\over d}\sum_{j=1}^d {\Gamma(d-\alpha_j)\over\Gamma(1-\alpha_j)} u_j^{-\alpha_j}. \] Some representations of ELDs and the extreme Dirichlet distribution are discussed. A simulation algorithm is proposed based on these representations.
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multivariate extremes
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spectral distribution
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Dirichlet distribution
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logistic distribution
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