Extreme Values in FGM Random Sequences

E. Hashorva and J. Hüsler

Journal of Multivariate Analysis, 1999, vol. 68, issue 2, 212-225

Abstract: We consider the multivariate Farlie-Gumbel-Morgenstern class of distributions and discuss their properties with respect to the extreme values. This class was used to consider dependence in multivariate distributions and their ordering. We show that the extreme values of these distributions behave as if no dependence would exist between its components.

Keywords: Farlie-Gumbel-Morgenstern; distribution; multivariate; extreme; values; random; sequences (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (5)

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