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

Abstract

AbstractIn 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 ${\mathbb R}^{d}$ 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.