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A new family of bivariate max-infinitely divisible distributions
Authors:Enkelejd Hashorva
Affiliation:(1) Allianz Suisse Insurance Company, Laupenstrasse 27, 3001 Bern, Switzerland;(2) Department of Statistics, University of Bern, Sidlerstrasse 5, 3012 Bern, Switzerland
Abstract:In this article we discuss the asymptotic behaviour of the componentwise maxima for a specific bivariate triangular array. Its components are given in terms of linear transformations of bivariate generalised symmetrised Dirichlet random vectors introduced in Fang and Fang (Statistical inference in elliptically contoured and related distributions. Allerton Press, New York, 1990). We show that the componentwise maxima of such triangular arrays is attracted by a bivariate max-infinitely divisible distribution function, provided that the associated random radius is in the Weibull max-domain of attraction.
Keywords:Extremes of triangular arrays  Weibull max-domain of attraction  Max-infinitely divisible distribution  Weak convergence  Generalised symmetrised Dirichlet distributions  Asymptotically spherical random vectors
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