The Interplay between I-max, I-min, p-max and p-min Stable Distributions
DOI:
https://doi.org/10.15415/mjis.2015.41006Keywords:
l-max stable laws, l-min stable laws, p-max stable laws, p-min stable laws, domains of attractionAbstract
Extreme value laws are limit laws of linearly normalized partial maxima of independent and identically distributed (iid) random variables (rvs), also called as l-max stable laws. Similar to l-max stable laws, we have the l-min stable laws which are the limit laws of centered and scaled partial minima, p-max and p-min stable laws which are respectively the limit laws of normalized maxima and minima under power normalization. In this article, we look at transformations between l-max, l-min, p-max and p-min stable distributions and their domains. The transformations in this article are useful in simulation studies.
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Articles in Mathematical Journal of Interdisciplinary Sciences (Math. J. Interdiscip. Sci.) by Chitkara University Publications are Open Access articles that are published with licensed under a Creative Commons Attribution- CC-BY 4.0 International License. Based on a work at https://mjis.chitkara.edu.in. This license permits one to use, remix, tweak and reproduction in any medium, even commercially provided one give credit for the original creation.
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Mathematical Journal of Interdisciplinary Sciences by Chitkara University Publications is licensed under a Creative Commons Attribution 4.0 International License. Based on a work at https://mjis.chitkara.edu.in |
