Convex geometry of max-stable distributions
نویسندگان
چکیده
منابع مشابه
Convex geometry of max-stable distributions
It is shown that max-stable random vectors in [0,∞)d with unit Fréchet marginals are in one to one correspondence with convex sets K in [0,∞)d called max-zonoids. The max-zonoids can be characterised as sets obtained as limits of Minkowski sums of cross-polytopes or, alternatively, as the selection expectation of a random crosspolytope whose distribution is controlled by the spectral measure of...
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ژورنال
عنوان ژورنال: Extremes
سال: 2008
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-008-0055-5