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A convergence rate in extreme-value theory

  • A. A. Balkema (a1) and L. De Haan (a2)
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.

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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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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.

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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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