Distribution and moments of the vector of the maximum of two absolutely continuous random vectors.

In this paper, we determine the exact distribution of the vector of the componentwise maximum of two absolutely continuous dependent random vectors and we show that it is a finite mixture of particular skew distributions studied in the literature. The results are detailed when the two vectors are elliptically distributed and some particular cases are discussed. The exact expression of the covariance matrix is obtained in the normal case. [ABSTRACT FROM AUTHOR]