A new family of bivariate max-infinitely divisible distributions

被引:4
|
作者
Hashorva, Enkelejd [1 ,2 ]
机构
[1] Allianz Suisse Insurance Co, CH-3001 Bern, Switzerland
[2] Univ Bern, Dept Stat, CH-3012 Bern, Switzerland
关键词
extremes of triangular arrays; Weibull max-domain of attraction; max-infinitely divisible distribution; weak convergence; generalised symmetrised Dirichlet distributions; asymptotically spherical random vectors;
D O I
10.1007/s00184-007-0158-z
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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.
引用
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页码:289 / 304
页数:16
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