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Higher-order expansions of distributions of maxima in a Hüsler-Reiss model

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Abstract

The max-stable Hüsler-Reiss distribution which arises as the limit distribution of maxima of bivariate Gaussian triangular arrays has been shown to be useful in various extreme value models. For such triangular arrays, this paper establishes higher-order asymptotic expansions of the joint distribution of maxima under refined Hüsler-Reiss conditions. In particular, the rate of convergence of normalized maxima to the Hüsler-Reiss distribution is explicitly calculated. Our findings are supported by the results of a numerical analysis.

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Authors and Affiliations

  1. Faculty of Business and Economics (HEC), University of Lausanne, 1015, Lausanne, Switzerland

    Enkelejd Hashorva & Zhichao Weng

  2. School of Mathematics and Statistics, Southwest University, 400715, Chongqing, China

    Zuoxiang Peng

Authors
  1. Enkelejd Hashorva
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  2. Zuoxiang Peng
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  3. Zhichao Weng
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Correspondence to Zhichao Weng.

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Hashorva, E., Peng, Z. & Weng, Z. Higher-order expansions of distributions of maxima in a Hüsler-Reiss model. Methodol Comput Appl Probab 18, 181–196 (2016). https://doi.org/10.1007/s11009-014-9407-6

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  • DOI: https://doi.org/10.1007/s11009-014-9407-6

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