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A convergence rate in extreme-value theory

Published online by Cambridge University Press:  14 July 2016

A. A. Balkema and
L. De Haan
A. A. Balkema*
Affiliation:
Universiteit van Amsterdam
L. De Haan*
Affiliation:
Erasmus Universiteit Rotterdam
*
∗ Postal address: Mathematisch Institut, Universiteit van Amsterdam, Plantage Muidergracht 24, 1018 TV Amsterdam, The Netherlands.
∗∗ Postal address: Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, 3000DR Rotterdam, The Netherlands.
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Abstract

A uniform convergence rate is determined for maxima of i.i.d. random variables from a distribution in the domain of attraction of the double-exponential distribution. The result is proved under a second-order condition on the underlying distribution parallelling the one given in Smith (1982) for the domain of attraction of the bounded-below and bounded-above families of limit distributions.

Keywords

SAMPLE EXTREMESDOUBLE-EXPONENTIAL DISTRIBUTION

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 27 , Issue 3 , September 1990, pp. 577 - 585
Copyright
Copyright © Applied Probability Trust 1990 

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Footnotes

De Haan acknowledges partial support from NSF Grant MCS 8202335 and from Colorado State University. Both authors are grateful for the hospitality of CSU, Department of Statistics.

References

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