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Asymptotic expansions for bivariate normal extremes

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  • Nadarajah, Saralees

Abstract

Nadarajah (2015) derived a complete asymptotic expansion for normal extremes. Here, we extend the expansion for bivariate normal extremes.

Suggested Citation

  • Nadarajah, Saralees, 2016. "Asymptotic expansions for bivariate normal extremes," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 124-133.
    • Handle: RePEc:eee:stapro:v:119:y:2016:i:c:p:124-133
    DOI: 10.1016/j.spl.2016.07.023
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    References listed on IDEAS

    as
    1. Nadarajah, Saralees, 2015. "Complete asymptotic expansions for normal extremes," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 127-133.
    2. Enkelejd Hashorva & Lanpeng Ji, 2014. "Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(10-12), pages 2540-2548, May.
    3. Hashorva, Enkelejd & Kortschak, Dominik, 2014. "Tail asymptotics of random sum and maximum of log-normal risks," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 167-174.
    4. Hashorva, Enkelejd, 2015. "Extremes of aggregated Dirichlet risks," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 334-345.
    5. Enkelejd Hashorva & Chengxiu Ling, 2016. "Maxima of skew elliptical triangular arrays," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(12), pages 3692-3705, June.
    Full references (including those not matched with items on IDEAS)

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