Rates of convergence in multivariate extreme value theory (Q1176291): Difference between revisions

Let \(\{(X_{n,1},X_{n,2},\ldots,X_{n,k}, n\geq 1\}\) be i.i.d. random k-dimensional vectors. Assume that there exist normalizing constants \(a_{n,i}>0,b_{n,i}\), \(1\leq i\leq k\), \(n\geq1\), such that as \(n\rightarrow\infty\) \[ P[(\max\{X_{m,i}, 1\leq m\leq n\}- b_{n,i})/a_{n,i}\leq x_ i,\quad 1\leq i\leq k]\buildrel w\over\longrightarrow G(x_ 1,x_ 2,\ldots,x_ k)\leqno (1) \] for the limit distribution \(G\) with nondegenerate marginals. The authors describe the uniform rate of convergence in (1). They show that the rate of convergence depends on that of the corresponding dependence functions and that of the marginals. In the final section the authors obtain a general Berry-Esséen type result for the max-scheme.