New characterizations of multivariate Max-domain of attraction and D-Norms
Please always quote using this URN: urn:nbn:de:bvb:20-opus-269071
- In this paper we derive new results on multivariate extremes and D-norms. In particular we establish new characterizations of the multivariate max-domain of attraction property. The limit distribution of certain multivariate exceedances above high thresholds is derived, and the distribution of that generator of a D-norm on R\(^{d}\), whose components sum up to d, is obtained. Finally we introduce exchangeable D-norms and show that the set of exchangeable D-norms is a simplex.
| Author: | Michael Falk, Timo Fuller |
|---|---|
| URN: | urn:nbn:de:bvb:20-opus-269071 |
| Document Type: | Journal article |
| Faculties: | Fakultät für Mathematik und Informatik / Institut für Mathematik |
| Language: | English |
| Parent Title (English): | Extremes |
| ISSN: | 1572-915X |
| Year of Completion: | 2021 |
| Volume: | 24 |
| Issue: | 4 |
| Pagenumber: | 849-879 |
| Source: | Extremes 2021, 24(4):849-879. DOI: 10.1007/s10687-021-00416-4 |
| DOI: | https://doi.org/10.1007/s10687-021-00416-4 |
| Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
| Tag: | D-norm; co-extremality coefficient; exchangeable D-norms; extremal exchangeable D-norms; generator of D-norm; multivariate exceedance; multivariate extreme value theory; multivariate max-domain of attraction |
| Release Date: | 2022/06/13 |
| Licence (German): |  CC BY: Creative-Commons-Lizenz: Namensnennung 4.0 International |