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

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Müller K., Richter W.-D.

Dependence Modeling

2016

tom 4

nr 1

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.

Ograniczanie wyników

1 Dependence Modeling

1 Müller K.

1 Richter W.-D.

1 2016

Wyniki wyszukiwania

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