Extreme Values in FGM Random Sequences

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.

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Year of publication:	1999
Authors:	Hashorva, E. ; Hüsler, J.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 68.1999, 2, p. 212-225
Publisher:	Elsevier
Keywords:	Farlie-Gumbel-Morgenstern distribution multivariate extreme values random sequences

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160569