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 |
本文献已被 SpringerLink 等数据库收录! |
|