Higher-order expansions of distributions of maxima in a Hüsler-Reiss model

Enkelejd Hashorva, Zuoxiang Peng and Zhichao Weng ()
Additional contact information
Enkelejd Hashorva: University of Lausanne
Zuoxiang Peng: Southwest University
Zhichao Weng: University of Lausanne

Methodology and Computing in Applied Probability, 2016, vol. 18, issue 1, 181-196

Abstract: Abstract The max-stable Hüsler-Reiss distribution which arises as the limit distribution of maxima of bivariate Gaussian triangular arrays has been shown to be useful in various extreme value models. For such triangular arrays, this paper establishes higher-order asymptotic expansions of the joint distribution of maxima under refined Hüsler-Reiss conditions. In particular, the rate of convergence of normalized maxima to the Hüsler-Reiss distribution is explicitly calculated. Our findings are supported by the results of a numerical analysis.

Keywords: Hüsler-Reiss max-stable distribution; Higher-order asymptotic expansion; Triangular arrays; Gaussian random vector; Primary 62E20; 60G70; Secondary 60F15; 60F05 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-014-9407-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:18:y:2016:i:1:d:10.1007_s11009-014-9407-6

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-014-9407-6

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().