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文章基本信息

  • 标题:Extreme value distributions for dependent jointly ln,p-symmetrically distributed random variables
  • 作者:K. Müller ; W.-D. Richter
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2016
  • 卷号:4
  • 期号:1
  • DOI:10.1515/demo-2016-0002
  • 出版社:Walter de Gruyter GmbH
  • 摘要:

    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.

  • 关键词:measure-of-cone representation ; p-generalized Laplace and Gaussian distributions ; skewed ln,psymmetric distribution ; tail index, light/ heavy center of distribution
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