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文章基本信息

  • 标题:Convergence rate of maxima of bivariate Gaussian arrays to the Hüsler-Reiss distribution
  • 作者:Xin Liao ; Zuoxiang Peng
  • 期刊名称:Statistics and Its Interface
  • 印刷版ISSN:1938-7989
  • 电子版ISSN:1938-7997
  • 出版年度:2014
  • 卷号:7
  • 期号:3
  • 页码:351-362
  • DOI:10.4310/SII.2014.v7.n3.a5
  • 出版社:International Press
  • 摘要:The limit distribution of maxima formed by a triangular array of independent and identically distributed bivariate Gaussian random vectors is the Hüsler-Reiss max-stable distribution if and only if the correlation of each vector approaches one with a certain rate. In this paper, we introduce a second-order condition on the convergence rate of this correlation. Under this condition we derive the uniform convergence rate of the distribution of normalized bivariate maxima to its ultimate limit distribution.
  • 关键词:bivariate Gaussian random vector; Hüsler-Reiss max-stable distribution; maximum; uniform convergence rate
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