Limit theorem for the maximum of random variables connected by IT-copulas of Student's t-distribution

DOI10.1137/S0040585X97T987260MaRDI QIDQ2944451zbMATH OpenOpenAlexFDO

Authors E. A. Savinov

Publication date 2 September 2015

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97t987260

zbMATH Keywords

conditional distributioncopulasindependence transformationMAX-stable distributiontriangular array scheme

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05)

Recommendations

• Extreme Value Theory and Archimedean Copulas
• Strong convergence of multivariate maxima
• Maxima of bivariate random vectors: Between independence and complete dependence
• Application of copulas in the proof of the almost sure central limit theorem for the \(k\)th largest maxima of some random variables
• On the copula for multivariate extreme value distributions

Cites work

• scientific article; zbMATH DE number 1132803 (Why is no real title available?)
• Asymptotic properties of conditional quantiles of the Cauchy distribution in Hilbert space
• Central limit theorem for random variables generated by conditional distributions of projections of a stable measure on a Hilbert space
• Extremes and related properties of random sequences and processes
• Remarks on a Multivariate Transformation
• The Strong Law of Large Numbers for a Triangular Array Scheme of Conditional Distributions of Stable Elliptically Contoured Measures

Cited in

(3)

• On extremal indices greater than one for a scheme of series
• Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction
• On Gaussian triangular arrays in the case of strong dependence

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