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3 results on '"Nešlehová, J"'

1. Asymptotics of joint maxima for discontinuous random variables

Author

Feidt, A., Genest, Chr, Nešlehová, J., Feidt, A., Genest, Chr, and Nešlehová, J.

Abstract

This paper explores the joint extreme-value behavior of discontinuous random variables. It is shown that as in the continuous case, the latter is characterized by the weak limit of the normalized componentwise maxima and the convergence of any compatible copula. Illustrations are provided and an extension to the case of triangular arrays is considered which sheds new light on recent work of Coles and Pauli (Stat Probab Lett 54:373-379, 2001) and Mitov and Nadarajah (Extremes 8:357-370, 2005). This leads to considerations on the meaning of the bivariate upper tail dependence coefficient of Joe (Comput Stat Data Anal 16:279-297, 1993) in the discontinuous case

Published
2018

2. Asymptotics of joint maxima for discontinuous random variables

Author

Feidt, A., Genest, Chr, Nešlehová, J., Feidt, A., Genest, Chr, and Nešlehová, J.

Abstract

This paper explores the joint extreme-value behavior of discontinuous random variables. It is shown that as in the continuous case, the latter is characterized by the weak limit of the normalized componentwise maxima and the convergence of any compatible copula. Illustrations are provided and an extension to the case of triangular arrays is considered which sheds new light on recent work of Coles and Pauli (Stat Probab Lett 54:373-379, 2001) and Mitov and Nadarajah (Extremes 8:357-370, 2005). This leads to considerations on the meaning of the bivariate upper tail dependence coefficient of Joe (Comput Stat Data Anal 16:279-297, 1993) in the discontinuous case

3. Asymptotics of joint maxima for discontinuous random variables

Author

Anne Feidt, Chr. Genest, Johanna Nešlehová, University of Zurich, and Nešlehová, J

Subjects
Statistics and Probability, Economics, Econometrics and Finance (miscellaneous), Copula, Discrete distribution, Joint extremes, Maximum, Upper tail dependence, Triangular array, 2001 Economics, Econometrics and Finance (miscellaneous), Bivariate analysis, Copula (probability theory), symbols.namesake, Pauli exclusion principle, 510 Mathematics, Calculus, 2613 Statistics and Probability, Engineering (miscellaneous), Mathematics, Mathematical analysis, Tail dependence, 10123 Institute of Mathematics, symbols, Probability distribution, 2201 Engineering (miscellaneous), Maxima, Random variable
Abstract

This paper explores the joint extreme-value behavior of discontinuous random variables. It is shown that as in the continuous case, the latter is characterized by the weak limit of the normalized componentwise maxima and the convergence of any compatible copula. Illustrations are provided and an extension to the case of triangular arrays is considered which sheds new light on recent work of Coles and Pauli (Stat Probab Lett 54:373–379, 2001) and Mitov and Nadarajah (Extremes 8:357–370, 2005). This leads to considerations on the meaning of the bivariate upper tail dependence coefficient of Joe (Comput Stat Data Anal 16:279–297, 1993) in the discontinuous case., Extremes, 13 (1), ISSN:1386-1999, ISSN:1572-915X

Published
2018

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