Maxima of bivariate random vectors: Between independence and complete dependence

We analyse the asymptotic dependence structure of bivariate maxima in a triangular array of independent random vectors. This extends the analysis of the classical case of i.i.d. random vectors and the known relationship in the Gaussian case. We apply the general results to a special model and discuss some examples.

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Year of publication:	1994
Authors:	Hüsler, J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 21.1994, 5, p. 385-394
Publisher:	Elsevier
Keywords:	Maxima Triangular arrays Bivariate random vector Dependence Bivariate extreme value distributions

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

Persistent link: https://www.econbiz.de/10005313794