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

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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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Official URL: http://www.sciencedirect.com/science/article/pii/S0047259X16301191

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
RIS ID:	https://nottingham-repository.worktribe.com/output/843521
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
Related URLs:	URL URL Type https://arxiv.org/abs/1603.02575 UNSPECIFIED
Depositing User:	Eprints, Support
Date Deposited:	27 Jun 2017 13:09
Last Modified:	04 May 2020 18:33
URI:	https://eprints.nottingham.ac.uk/id/eprint/43808

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