Elliptical triangular arrays in the max-domain of attraction of Hüsler-Reiss distribution
AbstractLet be a triangular array of independent bivariate elliptical random vectors. Hüsler and Reiss (1989. Statist. Probab. Lett. 7, 283-286) show that for the particular case that the array is Gaussian, the maxima of this array is in the max-domain of attraction of Hüsler-Reiss distribution function, provided that an asymptotic condition holds for the correlation corr(Un1,Vn1). In this paper we obtain a similar result for the more general case of elliptical triangular arrays.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 72 (2005)
Issue (Month): 2 (April)
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