Abstract
It is shown that the asymptotic of the maximum in a triangular array scheme of random variables connected by IT-copulas of Student's $t$-distribution is the same as for random variables with Gaussian copulas. Given this, assuming appropriate choice of basis, and corresponding projection system, generating the above triangular scheme, a convergence to max-stable Gumbel law takes place.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
