Limiting distributions of maxima under triangular schemes

DOI10.1016/J.JMVA.2010.06.006MaRDI QIDQ604350zbMATH OpenOpenAlexFDO

Authors Melanie Frick, Rolf-Dieter Reiss

Publication date 10 November 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2010.06.006

zbMATH Keywords

extreme value distribution functionslimiting distribution functionsresidual dependencespectral densitytriangular schemes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• Approximate distributions of order statistics. With applications to nonparametric statistics
• Dependence measures for extreme value analyses
• Elliptical triangular arrays in the max-domain of attraction of Hüsler-Reiss distribution
• Expansions of multivariate Pickands densities and testing the tail dependence
• scientific article; zbMATH DE number 3167901 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 193528 (Why is no real title available?)
• scientific article; zbMATH DE number 2118489 (Why is no real title available?)
• Maxima of normal random vectors: Between independence and complete dependence
• Multivariate extreme‐value distributions with applications to environmental data
• On the max-domain of attractions of bivariate elliptical arrays
• Statistics for near independence in multivariate extreme values
• Testing the tail-dependence based on the radial component

Cited in

(8)

• Second-order asymptotics on distributions of maxima of bivariate elliptical arrays
• Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays
• Expansions and penultimate distributions of maxima of bivariate normal random vectors
• A limiting distribution for maxima of discrete stationary triangular arrays with an application to risk due to avalanches
• Maxima of skew elliptical triangular arrays
• Some notes on extremal discriminant analysis
• Limit theorems for triangular urn schemes
• Extremes of independent chi-square random vectors

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