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arXiv · 1811.10007

Bi-Free Extreme Values

Hao-Wei Huang·Jiun-Chau Wang
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Abstract

In this paper, we continue Voiculescu's recent work on the analogous extreme value theory in the context of bi-free probability theory. We derive various equivalent conditions for a bivariate distribution function to be bi-freely max-infinitely divisible. A bi-freely max-infinitely divisible distribution function can be expressed in terms of its marginals and a special form of copulas. Such a distribution function is shown to be also max-infinitely divisible in the classical sense. In addition, we characterize the set of bi-free extreme value distribution functions. A distribution function of this type is also bi-free max-stable and represented by its marginals and one copula composing of a Pickands dependence function, as in the classical extreme value theory. As a consequence, the determination of its bi-free domain of attraction is the same as the criteria in the classical theory. To illustrate these connections, some concrete examples are provided.

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Hao-Wei Huang, Jiun-Chau Wang. 2018-11-25. Bi-Free Extreme Values. https://arxiv.org/abs/1811.10007

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