Limiting distributions of maxima under triangular schemes

作者：Frick Melanie^*; Reiss Rolf Dieter

来源：Journal of Multivariate Analysis, 2010, 101(10): 2346-2357.

DOI：10.1016/j.jmva.2010.06.006

• Extreme value distribution functions
• Spectral density
• Limiting distribution functions
• Triangular schemes
• Residual dependence

A well-known result in extreme value theory indicates that componentwise taken sample maxima of random vectors are asymptotically independent under weak conditions. However, in important cases this independence is attained at a very slow rate so that the residual dependence structure plays a significant role.
In the present article, we deduce limiting distributions of maxima under triangular schemes of random vectors. The residual dependence is expressed by a technical condition imposed on the spectral expansion of the underlying distribution.

• 出版日期2010-11