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Enkelejd Hashorva
[stat.AP,stat.ME,stat.OT]
On the Kolmogorov Distance of Max-Stable Distributions
Enkelejd Hashorva
[stat.AP,stat.ME,stat.OT]
In this contribution, we derive explicit bounds on the Kolmogorov distance for multivariate max-stable distributions with Fr'echet margins. We formulate those bounds in terms of (i) Wasserstein distances between de Haan representers, (ii) total variation distances between spectral/angular measures - removing the dimension factor from earlier results in the canonical sphere case - and (iii) discrepancies of the Psi-functions in the inf-argmax decomposition. Extensions to different margins and Archimax/clustered Archimax copulas are further discussed. Examples include logistic, comonotonic, independent and Brown-Resnick models.