An offspring of multivariate extreme value theory: the max-characteristic function
This paper introduces max-characteristic functions (max-CFs), which are an offspring of multivariate extreme-value theory. A max-CF characterizes the distribution of a random vector in Rd, whose components are nonnegative and have finite expectation. Pointwise convergence of max-CFs is shown to be e...
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| Format: | Article |
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Elsevier
2017
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| Online Access: | https://eprints.nottingham.ac.uk/43808/ |
| _version_ | 1848796772618469376 |
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| author | Falk, Michael Stupfler, Gilles |
| author_facet | Falk, Michael Stupfler, Gilles |
| author_sort | Falk, Michael |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper introduces max-characteristic functions (max-CFs), which are an offspring of multivariate extreme-value theory. A max-CF characterizes the distribution of a random vector in Rd, whose components are nonnegative and have finite expectation. Pointwise convergence of max-CFs is shown to be equivalent to convergence with respect to the Wasserstein metric. The space of max-CFs is not closed in the sense of pointwise convergence. An inversion formula for max-CFs is established. |
| first_indexed | 2025-11-14T19:53:18Z |
| format | Article |
| id | nottingham-43808 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:53:18Z |
| publishDate | 2017 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-438082020-05-04T18:33:06Z https://eprints.nottingham.ac.uk/43808/ An offspring of multivariate extreme value theory: the max-characteristic function Falk, Michael Stupfler, Gilles This paper introduces max-characteristic functions (max-CFs), which are an offspring of multivariate extreme-value theory. A max-CF characterizes the distribution of a random vector in Rd, whose components are nonnegative and have finite expectation. Pointwise convergence of max-CFs is shown to be equivalent to convergence with respect to the Wasserstein metric. The space of max-CFs is not closed in the sense of pointwise convergence. An inversion formula for max-CFs is established. Elsevier 2017-02-28 Article PeerReviewed Falk, Michael and Stupfler, Gilles (2017) An offspring of multivariate extreme value theory: the max-characteristic function. Journal of Multivariate Analysis, 154 . pp. 85-95. ISSN 0047-259X Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence http://www.sciencedirect.com/science/article/pii/S0047259X16301191 doi:10.1016/j.jmva.2016.10.007 doi:10.1016/j.jmva.2016.10.007 |
| spellingShingle | Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence Falk, Michael Stupfler, Gilles An offspring of multivariate extreme value theory: the max-characteristic function |
| title | An offspring of multivariate extreme value theory: the max-characteristic function |
| title_full | An offspring of multivariate extreme value theory: the max-characteristic function |
| title_fullStr | An offspring of multivariate extreme value theory: the max-characteristic function |
| title_full_unstemmed | An offspring of multivariate extreme value theory: the max-characteristic function |
| title_short | An offspring of multivariate extreme value theory: the max-characteristic function |
| title_sort | offspring of multivariate extreme value theory: the max-characteristic function |
| topic | Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence |
| url | https://eprints.nottingham.ac.uk/43808/ https://eprints.nottingham.ac.uk/43808/ https://eprints.nottingham.ac.uk/43808/ |