Asymptotic Domination of Sample Maxima

Enkelejd Hashorva and Didier Rulliere ()
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Enkelejd Hashorva: UNIL - Université de Lausanne = University of Lausanne

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Abstract: For a given random sample from some underlying multivariate distribution F we consider the domination of the component-wise maxima by some independent random vector W with underlying distribution function G. We show that the probability that certain components of the sample maxima are dominated by the corresponding components of W can be approximated under the assumptions that both F and G are in the max-domain of attraction of some max-stable distribution function F and G, respectively. We study further some basic properties of the dominated components of sample maxima by W .

Keywords: Max-stable distributions; domination of sample maxima; extremal dependence; inf-argmax formula; de Haan representation; records (search for similar items in EconPapers)
Date: 2020-05
Note: View the original document on HAL open archive server: https://hal.science/hal-02277020v1
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Published in Statistics and Probability Letters, 2020, 160 (108703), ⟨10.1016/j.spl.2020.108703⟩

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Journal Article: Asymptotic domination of sample maxima (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02277020

DOI: 10.1016/j.spl.2020.108703

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