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

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 o...

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Veröffentlicht in:Extremes (Boston) 2020-09, Vol.23 (3), p.411-423
Hauptverfasser: Kusumoto, Hideaki, Takeuchi, Atsushi
Format: Artikel
Sprache:eng
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Zusammenfassung: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.
ISSN:1386-1999
1572-915X
DOI:10.1007/s10687-020-00380-5