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February, 1983 Domains of Attraction of Multivariate Extreme Value Distributions
Albert W. Marshall, Ingram Olkin
Ann. Probab. 11(1): 168-177 (February, 1983). DOI: 10.1214/aop/1176993666

Abstract

The univariate conditions of Gnedenko characterizing domains of attraction for univariate extreme value distributions are generalized to higher dimensions. In addition, it is shown that random variables with a multivariate extreme value distribution are associated. Applications are given to a number of parametric families of joint distributions with given marginal distributions.

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Albert W. Marshall. Ingram Olkin. "Domains of Attraction of Multivariate Extreme Value Distributions." Ann. Probab. 11 (1) 168 - 177, February, 1983. https://doi.org/10.1214/aop/1176993666

Information

Published: February, 1983
First available in Project Euclid: 19 April 2007

zbMATH: 0508.60022
MathSciNet: MR682807
Digital Object Identifier: 10.1214/aop/1176993666

Subjects:
Primary: 60F99
Secondary: 62H05

Keywords: association of random variables , domains of attraction , extreme value distributions

Rights: Copyright © 1983 Institute of Mathematical Statistics

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Vol.11 • No. 1 • February, 1983
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