Multivariate extreme values in stationary random sequences

Jürg Hüsler

Stochastic Processes and their Applications, 1990, vol. 35, issue 1, 99-108

Abstract: The limit distributions of multivariate extreme values of stationary random sequences are associated under mild mixing conditions. Also sufficient conditions are given such that the limit has independent components. Examples indicate that these results do not hold for general stationary sequences.

Keywords: association; positive; and; negative; dependence; extreme; value; limit; distributions; stationary; random; sequences; mixing; conditions (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (2)

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