Asymptotic behavior of bivariate Gaussian powered extremes

DOI10.1016/J.JMAA.2017.06.020zbMATH Open1378.60080arXiv1610.06823OpenAlexW2963132125MaRDI QIDQ2014071FDOQ2014071

Wei Zhou, Zuoxiang Peng

Publication date: 10 August 2017

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

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.

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

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDsler-Reiss+max-stable+distribution&go=Go H��sler-Reiss max-stable distribution]second-order expansionbivariate powered Gaussian maximum

Mathematics Subject Classification ID

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

Cites Work

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• Convergence rate of maxima of bivariate Gaussian arrays to the Hüsler-Reiss distribution

Cited In (1)

• A strong ergodic theorem for extreme and intermediate order statistics

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