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Journal of Zhejiang University SCIENCE A
ISSN 1673-565X(Print), 1862-1775(Online), Monthly
2004 Vol.5 No.3 P.335-342
Extreme value distributions of mixing two sequences with the same MDA
Abstract: Suppose {Xi, i≥1} and {Yi, i≥1} are two independent sequences with distribution functions FX(x) and FY(x), respectively. Zi,n is the combination of Xi and Yi with a probability pn for each i with 1≤i≤n. The extreme value distribution GZ(x) of this particular triangular array of the i.i.d. random variables Z1,n,Z2,n,...,Zn,n is discussed. We found a new form of the extreme value distributions i) Φα1A(x)Φα2(x) and ii) Ψα1A(x)Ψα2(x)(α1<α2), which are not max-stable. It occurs if FX and FX belong to the same MDA(Φ) or MDA(Ψ).
Key words: Extreme value distribution, Maximum domain of attraction (MDA), Mixed distribution functions
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DOI:
10.1631/jzus.2004.0335
CLC number:
O211.4
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2024-08-27
Received:
2023-10-17
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2024-05-08
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