Identification of the parameters of a multivariate normal vector by the distribution of the maximum

DOI10.1023/A:1007889519309zbMath1011.62050OpenAlexW2995560990MaRDI QIDQ5937307

Ming Dai, Arunava Mukherjea

Publication date: 5 June 2003

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1007889519309

Mathematics Subject Classification ID

Multivariate analysis (62H99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items (11)

Solution of the problem of the identified minimum for the tri-variate normal ⋮ Divide and color representations for threshold Gaussian and stable vectors ⋮ Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Exact tail asymptotics in bivariate scale mixture models ⋮ Tail asymptotic results for elliptical distributions ⋮ Spectral norm of circulant-type matrices ⋮ On the residual dependence index of elliptical distributions ⋮ Asymptotics and bounds for multivariate Gaussian tails ⋮ Identification of parameters by the distribution of the minimum: The tri-variate normal case with negative correlations ⋮ Asymptotic properties of type I elliptical random vectors ⋮ Asymptotics for Kotz type III elliptical distributions

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