Asymptotic behavior of bivariate Gaussian powered extremes

DOI10.1016/J.JMAA.2017.06.020MaRDI QIDQ2014071zbMATHOpenAlexFDO

Authors Wei Zhou, Zuoxiang Peng

Publication date 10 August 2017

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.06823

zbMATH Keywords

second-order expansionbivariate powered Gaussian maximumHüsler-Reiss max-stable distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: In this paper, joint asymptotics of powered maxima for a triangular array of bivariate powered Gaussian random vectors are considered. Under the H"usler-Reiss condition, limiting distributions of powered maxima are derived. Furthermore, the second-order expansions of the joint distributions of powered maxima are established under the refined H"usler-Reiss condition.

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Cites work

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Cited in

(4)

• Extremes of perturbed bivariate Rayleigh risks
• Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays
• A strong ergodic theorem for extreme and intermediate order statistics
• Second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization

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