Strong convergence of multivariate maxima

Michael Falk, Simone A. Padoan, Stefano Rizzelli*

*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivistaArticolo in rivista

Abstract

It is well known and readily seen that the maximum of n independent and uniformly on [0, 1] distributed random variables, suitably standardised, converges in total variation distance, as n increases, to the standard negative exponential distribution. We extend this result to higher dimensions by considering copulas. We show that the strong convergence result holds for copulas that are in a differential neighbourhood of a multivariate generalised Pareto copula. Sklar's theorem then implies convergence in variational distance of the maximum of n independent and identically distributed random vectors with arbitrary common distribution function and (under conditions on the marginals) of its appropriately normalised version. We illustrate how these convergence results can be exploited to establish the almost-sure consistency of some estimation procedures for max-stable models, using sample maxima.
Lingua originaleEnglish
pagine (da-a)314-331
Numero di pagine18
RivistaJournal of Applied Probability
Volume57
DOI
Stato di pubblicazionePubblicato - 2020

Keywords

  • Copula
  • D-norm
  • Domain of attraction
  • Generalised Pareto copula
  • Maxima
  • Multivariate max-stable distribution
  • Strong convergence
  • Total variation

Fingerprint

Entra nei temi di ricerca di 'Strong convergence of multivariate maxima'. Insieme formano una fingerprint unica.

Cita questo