The univariate conditions of Gnedenko characterizing domains of attraction for univariate extreme value distributions are generalized to higher dimensions. In addition, it is shown that random variables with a multivariate extreme value distribution are associated. Applications are given to a number of parametric families of joint distributions with given marginal distributions.
Publié le : 1983-02-14
Classification:
Extreme value distributions,
association of random variables,
domains of attraction,
60F99,
62H05
@article{1176993666,
author = {Marshall, Albert W. and Olkin, Ingram},
title = {Domains of Attraction of Multivariate Extreme Value Distributions},
journal = {Ann. Probab.},
volume = {11},
number = {4},
year = {1983},
pages = { 168-177},
language = {en},
url = {http://dml.mathdoc.fr/item/1176993666}
}
Marshall, Albert W.; Olkin, Ingram. Domains of Attraction of Multivariate Extreme Value Distributions. Ann. Probab., Tome 11 (1983) no. 4, pp. 168-177. http://gdmltest.u-ga.fr/item/1176993666/