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Journal of Zhejiang University SCIENCE A

ISSN 1673-565X(Print), 1862-1775(Online), Monthly

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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Received:

2003-05-18

Revision Accepted:

2003-08-12

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