Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions (Q716176)
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scientific article; zbMATH DE number 5880186
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| English | Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions |
scientific article; zbMATH DE number 5880186 |
Statements
Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions (English)
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19 April 2011
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The asymptotic distribution \(H_{ST;\nu}\) of the vector of component-wise taken maxima, suitably standardized, of \(n\) iid skew-\(t\) random vectors with \(\nu\) degrees of freedom is derived for \(n\to\infty\). If \(H_{ST;\nu}\) depends on \(\nu\) in an appropriate way, the limit of \(H_{ST;\nu}\) as \(\nu\) tends to infinity in the skewed version of the Hüsler-Reiss model.
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extreme copulas
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max-stable distributions
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Pickands dependence function
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skew-normal distributions
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skew-t distributions
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spatial extremes
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tail dependence function
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0.8530369997024536
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0.8510267734527588
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0.8458176851272583
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0.8232072591781616
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0.808749794960022
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