An offspring of multivariate extreme value theory: The max-characteristic function

Michael Falk and Gilles Stupfler

Journal of Multivariate Analysis, 2017, vol. 154, issue C, 85-95

Abstract: This paper introduces max-characteristic functions (max-CFs), which are an offspring of multivariate extreme-value theory. A max-CF characterizes the distribution of a random vector in Rd, whose components are nonnegative and have finite expectation. Pointwise convergence of max-CFs is shown to be equivalent to convergence with respect to the Wasserstein metric. The space of max-CFs is not closed in the sense of pointwise convergence. An inversion formula for max-CFs is established.

Keywords: Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2016.10.007

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