Abstract
In this paper, the joint asymptotics of normalized maxima and minima for a triangular array of bivariate Gaussian random vectors are considered. Under the Hüsler-Reiss condition, the limiting distribution of maxima and minima is derived. Furthermore, the second-order expansions of joint distributions of maxima and minima are established under the second-order Hüsler-Reiss condition.
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Liao, X., Peng, Z. Asymptotics for the maxima and minima of Hüsler-Reiss bivariate Gaussian arrays. Extremes 18, 1–14 (2015). https://doi.org/10.1007/s10687-014-0196-7
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DOI: https://doi.org/10.1007/s10687-014-0196-7
Keywords
- Hüsler-Reiss max-stable distribution
- Bivariate Gaussian random vector
- Maximum and minimum
- Joint limit distribution
- Second-order expansion.