Affiliation:
1. 1University of Rostock, Institute of Mathematics, Ulmenstraße 69, Haus 3, 18057 Rostock, Germany
Abstract
AbstractA measure-of-cone representation of skewed continuous ln,p-symmetric distributions, n ∈ N, p > 0,
is proved following the geometric approach known for elliptically contoured distributions. On this basis, distributions
of extreme values of n dependent random variables are derived if the latter follow a joint continuous
ln,p-symmetric distribution. Light, heavy, and extremely far tails as well as tail indices are discussed,
and new parameters of multivariate tail behavior are introduced.
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
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