Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables

Müller K. and Richter W.-D.
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Müller K.: University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany
Richter W.-D.: University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany

Dependence Modeling, 2016, vol. 4, issue 1, 33

Abstract: A measure-of-cone representation of skewed continuous ln,p-symmetric distributions, n ∈ N, p > 0, is proved following the geometric approach known for elliptically contoured distributions. On this basis, distributions of extreme values of n dependent random variables are derived if the latter follow a joint continuous ln,p-symmetric distribution. Light, heavy, and extremely far tails as well as tail indices are discussed, and new parameters of multivariate tail behavior are introduced.

Keywords: measure-of-cone representation; p-generalized Laplace and Gaussian distributions; skewed ln; psymmetric distribution; tail index; light/ heavy center of distribution (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:4:y:2016:i:1:p:33:n:2

DOI: 10.1515/demo-2016-0002

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