On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays

DOI10.1016/J.SPL.2006.05.022MaRDI QIDQ866606zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva

Publication date 14 February 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.05.022

zbMATH Keywords

Gumbel Max-domain of attractionmultivariate elliptical distributionweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

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• Elliptical triangular arrays in the max-domain of attraction of Hüsler-Reiss distribution
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Cited in

(18)

• Asymptotic properties of type I elliptical random vectors
• Asymptotics for Kotz type III elliptical distributions
• Second-order asymptotics on distributions of maxima of bivariate elliptical arrays
• Elliptical triangular arrays in the max-domain of attraction of Hüsler-Reiss distribution
• Extremes of weighted Dirichlet arrays
• Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays
• Maxima of independent, non-identically distributed Gaussian vectors
• Second order expansions of distributions of maxima of bivariate Gaussian triangular arrays under power normalization
• A novel class of bivariate max-stable distributions
• Dynamic bivariate normal copula
• Minima and maxima of elliptical arrays and spherical processes
• On the Max-Domain of Attraction of Type-III Elliptical Triangular Arrays
• A new family of bivariate max-infinitely divisible distributions
• Maxima of skew elliptical triangular arrays
• Discussion: Statistical models and methods for dependence in insurance data
• Extreme value properties of multivariate t copulas
• Some notes on extremal discriminant analysis
• Conditional limiting distribution of beta-independent random vectors

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