Maxima of normal random vectors: Between independence and complete dependence

Jürg Hüsler and Rolf-Dieter Reiss

Statistics & Probability Letters, 1989, vol. 7, issue 4, 283-286

Abstract: A new approach to the asymptotic treatment of multivariate sample maxima is suggested and exemplified in the particular case of maxima of normal random vectors. In the limit one obtains a class of multivariate maxstable distributions not considered in literature so far.

Keywords: Multivariate; sample; maxima; normal; random; vectors; correlation; coefficient; max-stability (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (62)

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