Convergence rates of limit distribution of maxima of lognormal samples (Q448264): Difference between revisions
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Property / author: Zuo Xiang Peng / rank | |||
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Property / author: Zuo Xiang Peng / rank | |||
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It is known that linearly normalized partial maxima of independent and identically distributed (iid) random variables (rvs) from the lognormal distribution converge weakly to a rv having the Gumbel distribution \(\Lambda.\) In this paper the authors prove the following result: If \(\{X_n, n \geq 1\}\) is a sequence of iid rvs with common lognormal distribution \(F\) and if the norming constants \(a_n\) and \(b_n\) are given by the solution of the equations \[ 2\pi (\log b_n)^2exp(\log b_n)^2=n^2,\;a_n=b_n/\log{b_n}, \] then there exist absolute constants \(0< C_1 < C_2\) such that \[ C_1/\sqrt{\log n} < \sup_{x \in R}\mid F^n(a_n x + b_n) - \Lambda(x)\mid <C_2/\sqrt{\log n}, \] for \(n \geq 2\). And for the norming constants \[ \alpha_n=exp{\sqrt{2 \log n}/\sqrt{2 \log n}} \] and \[ \beta_n = \exp \sqrt{2 \log n}\left( 1 - \frac{\log 4\pi + \log \log n}{2 \sqrt{2 \log n}}\right), \] \[ F^n(\alpha_n x + \beta_n) - \Lambda(x)\sim -\frac{e^{-x}\exp e^{-x}}{8} \frac{(\log \log n)^2}{\sqrt{2 \log n}} \] for large \(n\). | |||
Property / review text: It is known that linearly normalized partial maxima of independent and identically distributed (iid) random variables (rvs) from the lognormal distribution converge weakly to a rv having the Gumbel distribution \(\Lambda.\) In this paper the authors prove the following result: If \(\{X_n, n \geq 1\}\) is a sequence of iid rvs with common lognormal distribution \(F\) and if the norming constants \(a_n\) and \(b_n\) are given by the solution of the equations \[ 2\pi (\log b_n)^2exp(\log b_n)^2=n^2,\;a_n=b_n/\log{b_n}, \] then there exist absolute constants \(0< C_1 < C_2\) such that \[ C_1/\sqrt{\log n} < \sup_{x \in R}\mid F^n(a_n x + b_n) - \Lambda(x)\mid <C_2/\sqrt{\log n}, \] for \(n \geq 2\). And for the norming constants \[ \alpha_n=exp{\sqrt{2 \log n}/\sqrt{2 \log n}} \] and \[ \beta_n = \exp \sqrt{2 \log n}\left( 1 - \frac{\log 4\pi + \log \log n}{2 \sqrt{2 \log n}}\right), \] \[ F^n(\alpha_n x + \beta_n) - \Lambda(x)\sim -\frac{e^{-x}\exp e^{-x}}{8} \frac{(\log \log n)^2}{\sqrt{2 \log n}} \] for large \(n\). / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62E20 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62G32 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G70 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6074416 / rank | |||
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Property / zbMATH Keywords | |||
extreme value distributions | |||
Property / zbMATH Keywords: extreme value distributions / rank | |||
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Property / zbMATH Keywords | |||
logarithmic normal distributions | |||
Property / zbMATH Keywords: logarithmic normal distributions / rank | |||
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Property / zbMATH Keywords | |||
maxima | |||
Property / zbMATH Keywords: maxima / rank | |||
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Property / zbMATH Keywords | |||
uniform convergence rates | |||
Property / zbMATH Keywords: uniform convergence rates / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Sreenivasan Ravi / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jmaa.2012.05.077 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2050131297 / rank | |||
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Property / cites work | |||
Property / cites work: On the rate of convergence of normal extremes / rank | |||
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Property / cites work: Extremes and related properties of random sequences and processes / rank | |||
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Property / cites work: The rate of convergence in law of the maximum of an exponential sample / rank | |||
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Property / cites work: Rates of convergence of extremes for mixed exponential distributions / rank | |||
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Property / cites work: Tail Behavior of the General Error Distribution / rank | |||
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Property / cites work: Convergence Rate of Extremes for the General Error Distribution / rank | |||
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Property / cites work: On the Rate of Convergence of STSD Extremes / rank | |||
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Property / cites work: Q3771297 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 15:37, 5 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Convergence rates of limit distribution of maxima of lognormal samples |
scientific article |
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Convergence rates of limit distribution of maxima of lognormal samples (English)
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30 August 2012
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It is known that linearly normalized partial maxima of independent and identically distributed (iid) random variables (rvs) from the lognormal distribution converge weakly to a rv having the Gumbel distribution \(\Lambda.\) In this paper the authors prove the following result: If \(\{X_n, n \geq 1\}\) is a sequence of iid rvs with common lognormal distribution \(F\) and if the norming constants \(a_n\) and \(b_n\) are given by the solution of the equations \[ 2\pi (\log b_n)^2exp(\log b_n)^2=n^2,\;a_n=b_n/\log{b_n}, \] then there exist absolute constants \(0< C_1 < C_2\) such that \[ C_1/\sqrt{\log n} < \sup_{x \in R}\mid F^n(a_n x + b_n) - \Lambda(x)\mid <C_2/\sqrt{\log n}, \] for \(n \geq 2\). And for the norming constants \[ \alpha_n=exp{\sqrt{2 \log n}/\sqrt{2 \log n}} \] and \[ \beta_n = \exp \sqrt{2 \log n}\left( 1 - \frac{\log 4\pi + \log \log n}{2 \sqrt{2 \log n}}\right), \] \[ F^n(\alpha_n x + \beta_n) - \Lambda(x)\sim -\frac{e^{-x}\exp e^{-x}}{8} \frac{(\log \log n)^2}{\sqrt{2 \log n}} \] for large \(n\).
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extreme value distributions
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logarithmic normal distributions
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maxima
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uniform convergence rates
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