Extreme value distributions of mixing two sequences with different MDA's.
Suppose [Xi, i> or =1] and [Yi, i> or =1] are two independent sequences with distribution functions FX(x) and FY(x), respectively. Z(i,n) is the combination of Xi and Yi with a probability pn for each i with 1< or =i< or =n. The extreme value distribution GZ(x) of this particular triangular array of the i.i.d. random variables Z(1,n), Z(2,n),..., Z(n,n) is discussed. We found a new form of the extreme value distribution LambdaA(Rhox)Lambda(x)(0<Rho<1), which is not max-stable. It occurs if FX(x) and FY(x) belong to the same MDA(Lambda). GZ(x) does not exist as mixture forms of the different types of extreme value distributions.
Jiang
Yue-xiang
YX
College of Economics, Zhejiang University, Hangzhou 310027, China. jyxbern@hotmail.com