Extreme Behavior of Multivariate Phase-Type Distributions
20 Pages Posted: 10 Sep 2013 Last revised: 3 Oct 2013
Date Written: February 16, 2006
This paper investigates the limiting distributions of the component-wise maxima and minima of suitably normalized iid multivariate phase-type random vectors. In the case of maxima, a large parametric class of multivariate extreme value (MEV) distributions is obtained. The flexibility of this new class is exemplified in the bi-variate setup. For minima, it is shown that the dependence structure of the Marshall-Olkin class arises in the limit.
Keywords: component-wise maxima (minima), copula, Marshall-Olkin exponential distribution, multivariate extreme value distribution, Pickands’ representation
JEL Classification: C10, C60
Suggested Citation: Suggested Citation