Elliptical triangular arrays in the max-domain of attraction of Hüsler-Reiss distribution

Enkelejd Hashorva

Statistics & Probability Letters, 2005, vol. 72, issue 2, 125-135

Abstract: Let be a triangular array of independent bivariate elliptical random vectors. Hüsler and Reiss (1989. Statist. Probab. Lett. 7, 283-286) show that for the particular case that the array is Gaussian, the maxima of this array is in the max-domain of attraction of Hüsler-Reiss distribution function, provided that an asymptotic condition holds for the correlation corr(Un1,Vn1). In this paper we obtain a similar result for the more general case of elliptical triangular arrays.

Keywords: Maxima; of; triangular; arrays; Elliptical; distribution; Husler-Reiss; max-stable; distribution; Weak; convergence (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (11)

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