Convex geometry of max-stable distributions |
| |
Authors: | Ilya Molchanov |
| |
Affiliation: | (1) Department of Mathematical Statistics and Actuarial Science, University of Bern, Sidlerstrasse 5, 3012 Bern, Switzerland |
| |
Abstract: | It is shown that max-stable random vectors in [0, ∞ ) d with unit Fréchet marginals are in one to one correspondence with convex sets K in [0, ∞ ) d called max-zonoids. The max-zonoids can be characterised as sets obtained as limits of Minkowski sums of cross-polytopes or, alternatively, as the selection expectation of a random cross-polytope whose distribution is controlled by the spectral measure of the max-stable random vector. Furthermore, the cumulative distribution function P ξ ≤ x of a max-stable random vector ξ with unit Fréchet marginals is determined by the norm of the inverse to x, where all possible norms are given by the support functions of (normalised) max-zonoids. As an application, geometrical interpretations of a number of well-known concepts from the theory of multivariate extreme values and copulas are provided. |
| |
Keywords: | Copula Max-stable random vector Norm Cross-polytope Spectral measure Support function Zonoid |
本文献已被 SpringerLink 等数据库收录! |
|