Convergence rate of maxima of bivariate Gaussian arrays to the Hüsler-Reiss distribution
Xin Liao, Zuoxiang Peng · Statistics and Its Interface · 2014
The limit distribution of maxima formed by a triangular array of independent and identically distributed bivariate Gaussian random vectors is the Hüsler-Reiss max-stable distribution if and only if the correlation of each vector approaches one with a certain rate.In this paper, we introduce a second-order condition on the convergence rate of this correlation.Under this condition we derive the uniform convergence rate of the distribution of normalized bivariate maxima to its ultimate limit distribution.