Limiting distributions of maxima under triangular schemes

Melanie Frick and Rolf-Dieter Reiss

Journal of Multivariate Analysis, 2010, vol. 101, issue 10, 2346-2357

Abstract: A well-known result in extreme value theory indicates that componentwise taken sample maxima of random vectors are asymptotically independent under weak conditions. However, in important cases this independence is attained at a very slow rate so that the residual dependence structure plays a significant role. In the present article, we deduce limiting distributions of maxima under triangular schemes of random vectors. The residual dependence is expressed by a technical condition imposed on the spectral expansion of the underlying distribution.

Keywords: Extreme; value; distribution; functions; Spectral; density; Limiting; distribution; functions; Triangular; schemes; Residual; dependence (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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