Article ID Journal Published Year Pages File Type
1153913 Statistics & Probability Letters 2006 9 Pages PDF
Abstract

In this paper we consider bivariate triangular arrays given in terms of linear transformations of asymptotically spherical bivariate random vectors. We show under certain restrictions that the componentwise maxima of such arrays is attracted by a bivariate max-stable distribution function with three parameters. This new class of max-stable distributions includes the bivariate max-stable Hüsler–Reiss distribution function for a special choice of parameters.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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