A New Approach to the Complexification of Max-Stable Distributions Using Random Angles

The paper presents a new approach to the complexification of max-stable distributions. Unlike the previously known one, random angles are used. For the real and imaginary components, marginal distributions are found, and the dependence is studied using copulas and other characteristics. A limit theorem is proved.

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Publication Details

Journal
Mathematical Notes
Published
2025-10-01
DOI
https://doi.org/10.1134/s0001434625605027
Primary Topic
Financial Risk and Volatility Modeling
Type
article
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article

A New Approach to the Complexification of Max-Stable Distributions Using Random Angles

A. A. Goldaeva, A. V. Lebedev
Mathematical Notes
Financial Risk and Volatility Modeling
article

A New Approach to the Complexification of Max-Stable Distributions Using Random Angles

A. A. Goldaeva, A. V. Lebedev
article en

Abstract

The paper presents a new approach to the complexification of max-stable distributions. Unlike the previously known one, random angles are used. For the real and imaginary components, marginal distributions are found, and the dependence is studied using copulas and other characteristics. A limit theorem is proved.

Mathematical NotesVol. 118(3-4)
Lomonosov Moscow State University (RU)
Reduced inequalities
Openalex Percentile: Top 28%
Financial Risk and Volatility Modeling
DOISourceOpenAlex
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A New Approach to the Complexification of Max-Stable Distributions Using Random Angles — A. A. Goldaeva, A. V. Lebedev · Mathematical Notes (2025) | TGRS Research Map | TGRS