The paper is concerned with the basic properties of multivariate extreme value distribution (in the Logistic model). We obtain the characteristic function and recurrence formula of the density function. The explicit algebraic formula for Fisher information matrix is indicated. A simple and accurate procedure for generating random vector from multivariate extreme value distribution is presented.
Key words Characteristic function - Fisher information matrix - Gumbel distribution - multivariate extreme value distribution
This work is supported by the National Natural Science Foundation of China.