A Test for Extreme Value Domain of Attraction
β Scribed by A. M. Hasofer and Z. Wang
- Book ID
- 125249666
- Publisher
- American Statistical Association
- Year
- 1992
- Tongue
- English
- Weight
- 925 KB
- Volume
- 87
- Category
- Article
- ISSN
- 0162-1459
- DOI
- 10.2307/2290466
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The tail behaviour of many bivariate distributions with unit FrΓ echet margins can be characterised by the coe cient of tail dependence and a slowly varying function. We show that such a characterisation is not always possible, and neither implies nor is implied by the fact that the distribution bel
The paper gives sufficient conditions for domains of attraction of multivariate extreme value distributions. Under the assumption of absolute continuity of a multivariate distribution, the criteria enable one to examine, by using limits of some rescaled conditional densities, whether the distributio