A note on the representation of parametric models for multivariate extremes (Q626291)

From MaRDI portal
scientific article
Language Label Description Also known as
English
A note on the representation of parametric models for multivariate extremes
scientific article

    Statements

    A note on the representation of parametric models for multivariate extremes (English)
    0 references
    0 references
    0 references
    22 February 2011
    0 references
    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.
    0 references
    multivariate extremes
    0 references
    spectral distribution
    0 references
    Dirichlet distribution
    0 references
    logistic distribution
    0 references

    Identifiers