Higher-order expansions of distributions of maxima in a Hüsler-Reiss model

2014/02/23 by E. Hashorva, Hashorva, E., Z. Peng +3
Mathematics · #Applications (stat.AP) #FOS: Computer and information sciences #FOS: Mathematics #Probability (math.PR) #math.PR #stat.AP

paper · pdf · doi:10.48550/arxiv.1402.5608

11 pages

arxiv created 2014/02/23 · arxiv updated 2014/02/25

Abstract

The max-stable Hüsler-Reiss distribution which arises as the limit distribution of maxima of bivariate Gaussian triangular arrays has been shown to be useful in various extreme value models. For such triangular arrays, this paper establishes higher-order asymptotic expansions of the joint distribution of maxima under refined Hüsler-Reiss conditions. In particular, the rate of convergence of normalized maxima to the Hüsler-Reiss distribution is explicitly calculated.

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