English

Second-order asymptotics on distributions of maxima of bivariate elliptical arrays

Probability 2016-08-09 v1

Abstract

Let {(ξni,ηni),1in,n1}\{ (\xi_{ni}, \eta_{ni}), 1\leq i \leq n, n\geq 1 \} be a triangular array of independent bivariate elliptical random vectors with the same distribution function as (S1,ρnS1+1ρn2S2)(S_{1}, \rho_{n}S_{1}+\sqrt{1-\rho_{n}^2}S_{2}), ρn(0,1)\rho_{n}\in (0,1), where (S1,S2)(S_{1},S_{2}) is a bivariate spherical random vector. For the distribution function of radius S12+S22\sqrt{S_{1}^2+S_{2}^2} belonging to the max-domain of attraction of the Weibull distribution, Hashorva (2006) derived the limiting distribution of maximum of this triangular array if convergence rate of ρn\rho_{n} to 11 is given. In this paper, under the refinement of the rate of convergence of ρn\rho_{n} to 11 and the second-order regular variation of the distributional tail of radius, precise second-order distributional expansions of the normalized maxima of bivariate elliptical triangular arrays are established.

Keywords

Cite

@article{arxiv.1608.02091,
  title  = {Second-order asymptotics on distributions of maxima of bivariate elliptical arrays},
  author = {Xin Liao and Zhichao Weng and Zuoxiang Peng},
  journal= {arXiv preprint arXiv:1608.02091},
  year   = {2016}
}

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28 pages