An offspring of multivariate extreme value theory: the max-characteristic function
(2016)
Journal Article
Falk, M., & Stupfler, G. (2017). An offspring of multivariate extreme value theory: the max-characteristic function. Journal of Multivariate Analysis, 154, https://doi.org/10.1016/j.jmva.2016.10.007
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.... Read More about An offspring of multivariate extreme value theory: the max-characteristic function.