SOME PROPERTIES OF MULTIVARIATE EXTREME VALUE DISTRIBUTIONS AND MULTIVARIATE TAIL EQUIVALENCE

被引：10

作者：

TAKAHASHI, R ^{[1
]}

机构：

[1] KOBE UNIV MERCANTILE MARINE,KOBE,JAPAN

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 1987年 / 39卷 / 03期

关键词：

Multivariate extreme value distribution; multivariate tail equivalence;

D O I：

10.1007/BF02491496

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：

Denote by H a k-dimensional extreme value distribution with marginal distribution H i (x)=Λ(x)=exp(-e -x ), x∈R 1. Then it is proved that H(x)=Λ(x 1)...Λ(x k ) for any x=(x 1, ..., x k ) ∈R k, if and only if the equation holds for x=(0,...,0). Next some multivariate extensions of the results by Resnick (1971, J. Appl. Probab., 8, 136-156) on tail equivalence and asymptotic distributions of extremes are established. © 1987 Kluwer Academic Publishers.

引用

页码：637 / 647

页数：11