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Remark on rates of convergence to extreme value distributions via the Stein equations.

Authors :
Kusumoto, Hideaki
Takeuchi, Atsushi
Source :
Extremes; Sep2020, Vol. 23 Issue 3, p411-423, 13p
Publication Year :
2020

Abstract

Consider the maximum of independent and identically distributed random variables. The classical result says that the renormalized sample maximum converges to an extreme value distributions, under certain conditions on the distribution function. In the present paper, we shall study the uniform rate of the convergence with respect to the Kolmogorov distance in the framework of the Stein equations. Some typical examples are raised in the paper. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
13861999
Volume :
23
Issue :
3
Database :
Complementary Index
Journal :
Extremes
Publication Type :
Academic Journal
Accession number :
144870784
Full Text :
https://doi.org/10.1007/s10687-020-00380-5