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Conditions based on conditional moments for max-stable limit laws

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Abstract

Let X 1, X 2, ...X n be independent and identically distributed random variables with common distribution function F. Necessary and sufficient conditions for F to belong to the domains of attraction of Φ α and Ψ α are derived in terms of conditional moments.

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Authors and Affiliations

  1. Department of Mathematics, Southwest Normal University, Chongqing, 400715, People’s Republic of China

    Zuoxiang Peng & Miaomiao Liu

  2. School of Mathematics, University of Manchester, Manchester, M60 1QD, UK

    Saralees Nadarajah

Authors
  1. Zuoxiang Peng
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  2. Miaomiao Liu
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  3. Saralees Nadarajah
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Correspondence to Zuoxiang Peng.

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Peng, Z., Liu, M. & Nadarajah, S. Conditions based on conditional moments for max-stable limit laws. Extremes 11, 329–337 (2008). https://doi.org/10.1007/s10687-008-0060-8

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  • DOI: https://doi.org/10.1007/s10687-008-0060-8

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