A measure-of-cone representation of skewed continuous ln,p-symmetric distributions, n ∈ N, p > 0, is proved following the geometric approach known for elliptically contoured distributions. On this basis, distributions of extreme values of n dependent random variables are derived if the latter follow a joint continuous ln,p-symmetric distribution. Light, heavy, and extremely far tails as well as tail indices are discussed, and new parameters of multivariate tail behavior are introduced.
@article{bwmeta1.element.doi-10_1515_demo-2016-0002,
author = {K. M\"uller and W.-D. Richter},
title = {Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables},
journal = {Dependence Modeling},
volume = {4},
year = {2016},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0002}
}
K. Müller; W.-D. Richter. Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables. Dependence Modeling, Tome 4 (2016) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0002/