On a characteristic property of generalized Pareto distributions, extreme value distributions and their max domains of attraction

被引：1

作者：

Ravi, S. ^{[1
]}

机构：

[1] Univ Mysore, Dept Studies Stat, Mysore 570006, Karnataka, India

来源：

STATISTICAL PAPERS | 2010年 / 51卷 / 02期

关键词：

Characterization; Generalized Pareto distributions; Extreme value distributions; Necessary conditions for max domains of attraction;

D O I：

10.1007/s00362-009-0214-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：

Using the independence of an arbitrary random variable Y and the weighted minima of independent, identically distributed random variables with weights depending on Y, we characterize extreme value distributions and generalized Pareto distributions. A discussion is made about an analogous characterization for distributions in the max domains of attraction of extreme value limit laws.

引用

页码：455 / 463

页数：9