On the maximum and minimum of multivariate Pareto random variables
Keywords:Maximum, Minimum, Multivariate Pareto distribution
Aksomaitis and Burauskaite-Harju [Information Technology and Control, 38, 2009, 301-302] studied the distribution of $\max (X_1, X_2, \ldots, X_p)$ when $(X_1, X_2, \ldots, X_p)$ follows the multivariate normal distribution. Here, we study the distributions of $\min (X_1, X_2, \ldots, X_p)$ and $\max (X_1$, $X_2$, $\ldots$, $X_p)$ when $(X_1$, $X_2$, $\ldots$, $X_p)$ follows the most commonly known multivariate Pareto distribution. Multivariate Pareto distributions are most relevant for modeling extreme values.
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