Extremes of independent chi-square random vectors
| Autor(en): | Hashorva, Enkelejd Kabluchko, Zakhar Wuebker, Achim |
Stichwörter: | Conditional limit result; Extremes; Gaussian random vector; Husler-Reiss distribution; Mathematics; Mathematics, Interdisciplinary Applications; Max-stable distribution; Multivariate chi-square distribution; Statistics & Probability | Erscheinungsdatum: | 2012 | Herausgeber: | SPRINGER | Journal: | EXTREMES | Volumen: | 15 | Ausgabe: | 1 | Startseite: | 35 | Seitenende: | 42 | Zusammenfassung: | We prove that the componentwise maximum of an i.i.d. triangular array of chi-square random vectors converges in distribution, under appropriate assumptions on the dependence within the vectors and after normalization, to the max-stable Husler-Reiss distribution. As a by-product we derive a conditional limit result. |
ISSN: | 13861999 | DOI: | 10.1007/s10687-010-0125-3 |
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