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ASSOCIATION AND MULTIVARIATE EXTREME VALUE DISTRIBUTIONS
Author(s) -
Resnick Sidney I.
Publication year - 1988
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1988.tb00481.x
Subject(s) - association (psychology) , multivariate statistics , extreme value theory , mathematics , poisson distribution , statistics , multivariate normal distribution , value (mathematics) , multivariate random variable , econometrics , random variable , psychology , psychotherapist
summary Multivariate extreme value random vectors are associated, which is a result of Marshall and Olkin (1983). In fact this positive dependence result holds more generally for max‐infinitely divisible random vectors as well as for spectrally positive infinitely divisible distributions. The association is obtained from the association of the Poisson process and the fact that association is preserved under non‐decreasing transformations.