Expansions and penultimate distributions of maxima of bivariate normal random vectors

Melanie Frick and Rolf-Dieter Reiss

Statistics & Probability Letters, 2013, vol. 83, issue 11, 2563-2568

Abstract: It is well known that the marginal maxima of n standard normal random vectors with correlation coefficient ρ<1 are asymptotically independent. In this article, the residual dependence will be captured by asymptotic expansions and certain penultimate distributions including the case where ρ(n)↑1 at a certain rate.

Keywords: Multivariate extreme analysis; Limiting distribution; Residual dependence; Expansion; Penultimate distribution (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2013.08.004

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