Extreme behavior of multivariate phase-type distributions

被引：4
|
作者：
Asimit, Alexandru V. [1 ]
Jones, Bruce L. [1 ]
机构：
[1] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON N6A 5B7, Canada
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2007年 / 41卷 / 02期
基金：
加拿大自然科学与工程研究理事会;
关键词：
componentwise maxima (minima); copula; Marshall-Olkin exponential distribution; multivariate extreme value distribution; Pickands' representation;
D O I：
10.1016/j.insmatheco.2006.10.016
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the limiting distributions of the componentwise maxima and minima of Suitably normalized iid multivariate phase-type random vectors. In the case of maxima, a large parametric class of multivariate extreme value (MEV) distributions is obtained. The flexibility of this new class is exemplified in the bivariate setup. For minima, it is shown that the dependence structure of the Marshall-Olkin class arises in the limit. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：223 / 233
页数：11
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