Higher-order expansions of distributions of maxima in a Hüsler-Reiss model

DOI10.1007/s11009-014-9407-6zbMath1351.62062arXiv1402.5608OpenAlexW2080214323MaRDI QIDQ267891

Enkelejd Hashorva, Zuo Xiang Peng, Zhi Chao Weng

Publication date: 12 April 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.5608

zbMATH Keywords

triangular arraysGaussian random vectorhigher-order asymptotic expansionHüsler-Reiss max-stable distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Strong limit theorems (60F15)

Related Items (9)

Rates of convergence of powered order statistics from general error distribution ⋮ Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays ⋮ Asymptotic expansions for bivariate normal extremes ⋮ Second-order asymptotics on distributions of maxima of bivariate elliptical arrays ⋮ Second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization ⋮ Second-order expansions for maxima of dynamic bivariate normal copulas ⋮ Tail dependence functions of the bivariate Hüsler-Reiss model ⋮ Asymptotic behavior of bivariate Gaussian powered extremes ⋮ Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays

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