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Extremes of independent chi-square random vectors |
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| Authors: | Enkelejd Hashorva Zakhar Kabluchko Achim Wübker |
| Institution: | 1. Department of Mathematical Statistics and Actuarial Science, University of Bern, Sidlerstrasse 5, 3012, Bern, Switzerland 2. Faculty of Business and Economics, University of Lausanne, Extranef, UNIL-Dorigny, 1015, Lausanne, Switzerland 3. Institute of Stochastics, Ulm University, Helmholtzstr. 18, 89069, Ulm, Germany 4. University of Osnabr??ck, Albrechtstr. 28a, 49076, Osnabr??ck, Germany |
| Abstract: | We prove that the componentwise maximum of an i.i.d. triangular array of chi-square random vectors converges in distribution, under appropriate assumptions on the dependence within the vectors and after normalization, to the max-stable Hüsler–Reiss distribution. As a by-product we derive a conditional limit result. |
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