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Maxima of bivariate random vectors: Between independence and complete dependence

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  • Hüsler, J.

Abstract

We analyse the asymptotic dependence structure of bivariate maxima in a triangular array of independent random vectors. This extends the analysis of the classical case of i.i.d. random vectors and the known relationship in the Gaussian case. We apply the general results to a special model and discuss some examples.

Suggested Citation

  • Hüsler, J., 1994. "Maxima of bivariate random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 21(5), pages 385-394, December.
    • Handle: RePEc:eee:stapro:v:21:y:1994:i:5:p:385-394
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    Cited by:

    1. Hashorva, Enkelejd, 2007. "On the asymptotic distribution of certain bivariate reinsurance treaties," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 200-208, March.
    2. Coles, Stuart & Pauli, Francesco, 2001. "Extremal limit laws for a class of bivariate Poisson vectors," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 373-379, October.

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