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 |
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| creator | Kusumoto, Hideaki Takeuchi, Atsushi |
| description | 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. |
| doi_str_mv | 10.1007/s10687-020-00380-5 |
| format | Article |
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| identifier | ISSN: 1386-1999 |
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| issn | 1386-1999 1572-915X |
| language | eng |
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| source | Business Source Complete; SpringerLink Journals - AutoHoldings |
| subjects | Civil Engineering Convergence Distribution functions Economics Environmental Management Extreme values Finance Hydrogeology Insurance Management Mathematical analysis Mathematics and Statistics Quality Control Random variables Reliability Safety and Risk Statistics Statistics for Business |
| title | Remark on rates of convergence to extreme value distributions via the Stein equations |
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