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

• Autorzy: K. Müller , W.-D. Richter
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

measure-of-cone representation; p-generalized Laplace and Gaussian distributions; skewed ln,psymmetricdistribution; tail index, light/ heavy center of distribution

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2016
• Tom: 4
• Numer: 1

Daty

otrzymano

2015-10-12

zaakceptowano

2016-02-05

online

2016-02-22

Twórcy

autor

K. Müller

• University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany

autor

W.-D. Richter

• University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany

Identyfikatory

DOI

10.1515/demo-2016-0002