New characterizations of multivariate Max-domain of attraction and D-Norms

Please always quote using this URN: urn:nbn:de:bvb:20-opus-269071
  • In this paper we derive new results on multivariate extremes and D-norms. In particular we establish new characterizations of the multivariate max-domain of attraction property. The limit distribution of certain multivariate exceedances above high thresholds is derived, and the distribution of that generator of a D-norm on R\(^{d}\), whose components sum up to d, is obtained. Finally we introduce exchangeable D-norms and show that the set of exchangeable D-norms is a simplex.

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Author: Michael Falk, Timo Fuller
Document Type:Journal article
Faculties:Fakultät für Mathematik und Informatik / Institut für Mathematik
Parent Title (English):Extremes
Year of Completion:2021
Source:Extremes 2021, 24(4):849-879. DOI: 10.1007/s10687-021-00416-4
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
Tag:D-norm; co-extremality coefficient; exchangeable D-norms; extremal exchangeable D-norms; generator of D-norm; multivariate exceedance; multivariate extreme value theory; multivariate max-domain of attraction
Release Date:2022/06/13
Licence (German):License LogoCC BY: Creative-Commons-Lizenz: Namensnennung 4.0 International