On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays

Enkelejd Hashorva

Statistics & Probability Letters, 2006, vol. 76, issue 18, 2027-2035

Abstract: Let , be a triangular array of independent elliptical random vectors in . In this paper we investigate the asymptotic behaviour of the multivariate maxima of this triangular array. Generalising previous results for the bivariate set-up, we show that the normalised maxima of this elliptical triangular array is attracted by the multivariate Hüsler-Reiss distribution function provided that the components of the triangular array become asymptotically dependent with a specific rate, and further the random radius pertaining to the elliptical random vectors is in the Gumbel max-domain of attraction.

Keywords: Maxima; of; triangular; arrays; Multivariate; elliptical; distribution; Multivariate; Husler-Reiss; distribution; Gumbel; max-domain; of; attraction; Weak; convergence (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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