Extremes of Perturbed Bivariate Rayleigh Risks

Authors

  • Enkelejd Hashorva University of Lausanne
  • Saralees Nadarajah University of Manchester
  • Tibor K. Pogány University of Rijeka

DOI:

https://doi.org/10.57805/revstat.v12i2.149

Keywords:

asymptotic independence, Gumbel max-domain of attraction, Hüsler–Reiss distribution, Rayleigh distribution, triangular arrays

Abstract

We establish first an asymptotic expansion for the joint survival function of a bivariate Rayleigh distribution, one of the most popular probabilistic models in engineering. Furthermore, we show that the component-wise maxima of a Hüsler–Reiss triangular array scheme of independent perturbed bivariate Rayleigh risks converges to a bivariate Hüsler–Reiss random vector.

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Published

2014-06-25

How to Cite

Hashorva , E., Nadarajah , S., & K. Pogány , T. (2014). Extremes of Perturbed Bivariate Rayleigh Risks. REVSTAT-Statistical Journal, 12(2), 157–168. https://doi.org/10.57805/revstat.v12i2.149

Issue

Vol. 12 No. 2 (2014): REVSTAT-Statistical Journal

Section

Article

License

Copyright (c) 2014 REVSTAT-Statistical Journal

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

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