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Extreme Values in FGM Random Sequences

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  • Hashorva, E.
  • Hüsler, J.

Abstract

We consider the multivariate Farlie-Gumbel-Morgenstern class of distributions and discuss their properties with respect to the extreme values. This class was used to consider dependence in multivariate distributions and their ordering. We show that the extreme values of these distributions behave as if no dependence would exist between its components.

Suggested Citation

  • Hashorva, E. & Hüsler, J., 1999. "Extreme Values in FGM Random Sequences," Journal of Multivariate Analysis, Elsevier, vol. 68(2), pages 212-225, February.
    • Handle: RePEc:eee:jmvana:v:68:y:1999:i:2:p:212-225
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    References listed on IDEAS

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    1. Hüsler, J., 1989. "Limit properties for multivariate extreme values in sequences of independent, non-identically distributed random vectors," Stochastic Processes and their Applications, Elsevier, vol. 31(1), pages 105-116, March.
    2. Cambanis, Stamatis, 1977. "Some properties and generalizations of multivariate Eyraud-Gumbel-Morgenstern distributions," Journal of Multivariate Analysis, Elsevier, vol. 7(4), pages 551-559, December.
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    Cited by:

    1. Okolewski, A. & Kaluszka, M., 2015. "Stability of expected L-statistics against weak dependence of observations," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 157-164.
    2. Ju¨rg Hu¨sler, 2000. "The Smallest Parallelepiped of n Random Points and Peeling," Methodology and Computing in Applied Probability, Springer, vol. 2(2), pages 169-181, August.
    3. Yang, Yang & Hashorva, Enkelejd, 2013. "Extremes and products of multivariate AC-product risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 312-319.
    4. Hashorva, Enkelejd, 2001. "Asymptotic results for FGM random sequences," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 417-425, October.
    5. Mao, Tiantian & Yang, Fan, 2015. "Risk concentration based on Expectiles for extreme risks under FGM copula," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 429-439.

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