An offspring of multivariate extreme value theory: the max-characteristic function

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

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Abstract

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.

Item Type: Article
Keywords: Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence
Schools/Departments: University of Nottingham, UK > Faculty of Science > School of Mathematical Sciences
Identification Number: 10.1016/j.jmva.2016.10.007
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Depositing User: Eprints, Support
Date Deposited: 27 Jun 2017 13:09
Last Modified: 12 Oct 2017 23:54
URI: http://eprints.nottingham.ac.uk/id/eprint/43808

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