Rates of convergence of extreme for general error distribution under power normalization (Q419250): Difference between revisions
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Property / author: Chao Wang / rank | |||
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The authors consider the rates of convergence of extremes for a general error distribution (GED) \(F\) under power normalization. The probability density function of the GED is given by \[ f_{\upsilon}\left( x\right) =\frac{\upsilon\exp\left\{ -\left( 1/2\right) \left| \text{\thinspace}x/\lambda\right| ^{\upsilon}\right\} }{\lambda 2^{1+1/\upsilon}{\Gamma}\left( 1/\upsilon\right) } \] for \(\upsilon>0\) and \(x\in\mathbb R\), where \(\lambda=\left[ 2^{-2/\upsilon }{\Gamma}\left( 1/\upsilon\right) /{\Gamma}\left( 3/\upsilon\right) \right] ^{1/2}\) and \({\Gamma}\left( \cdot\right) \) denote the Gamma function. The GED belongs to the domain of attraction of a distribution \({\Phi}_{1}\) under power normalization, where \({\Phi}_{1}\left( x\right) =\exp\left\{ -x^{-1}\right\} \), \(x>0\). He provides two main results. The first result states that the uniform convergence rate of \(F^{n}\left( \alpha_{n}x^{\beta_{n}}\right) \) to its limit \({\Phi}_{1}\left( x\right) \), where \(\alpha_{n}>0\) and \(\beta_{n}>0\) are some normalizing constants, is of order \(O\left( \frac{1}{\log n}\right)\). The second result shows that the pointwise convergence rate of \(F^{n}\left( \alpha_{n}x^{\beta_{n}}\right) \) to its limit is of order \(O\left( \exp\left\{ -x^{-1}\right\} \frac{1}{x} \beta_{n}\right) \). | |||
Property / review text: The authors consider the rates of convergence of extremes for a general error distribution (GED) \(F\) under power normalization. The probability density function of the GED is given by \[ f_{\upsilon}\left( x\right) =\frac{\upsilon\exp\left\{ -\left( 1/2\right) \left| \text{\thinspace}x/\lambda\right| ^{\upsilon}\right\} }{\lambda 2^{1+1/\upsilon}{\Gamma}\left( 1/\upsilon\right) } \] for \(\upsilon>0\) and \(x\in\mathbb R\), where \(\lambda=\left[ 2^{-2/\upsilon }{\Gamma}\left( 1/\upsilon\right) /{\Gamma}\left( 3/\upsilon\right) \right] ^{1/2}\) and \({\Gamma}\left( \cdot\right) \) denote the Gamma function. The GED belongs to the domain of attraction of a distribution \({\Phi}_{1}\) under power normalization, where \({\Phi}_{1}\left( x\right) =\exp\left\{ -x^{-1}\right\} \), \(x>0\). He provides two main results. The first result states that the uniform convergence rate of \(F^{n}\left( \alpha_{n}x^{\beta_{n}}\right) \) to its limit \({\Phi}_{1}\left( x\right) \), where \(\alpha_{n}>0\) and \(\beta_{n}>0\) are some normalizing constants, is of order \(O\left( \frac{1}{\log n}\right)\). The second result shows that the pointwise convergence rate of \(F^{n}\left( \alpha_{n}x^{\beta_{n}}\right) \) to its limit is of order \(O\left( \exp\left\{ -x^{-1}\right\} \frac{1}{x} \beta_{n}\right) \). / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Wiesław Dziubdziela / 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: 60F15 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6036320 / rank | |||
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Property / zbMATH Keywords | |||
\(p\)-max stable laws | |||
Property / zbMATH Keywords: \(p\)-max stable laws / rank | |||
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general error distribution | |||
Property / zbMATH Keywords: general error distribution / rank | |||
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maximum | |||
Property / zbMATH Keywords: maximum / rank | |||
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uniform convergence rate | |||
Property / zbMATH Keywords: uniform convergence rate / rank | |||
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Revision as of 21:18, 29 June 2023
scientific article
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English | Rates of convergence of extreme for general error distribution under power normalization |
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Rates of convergence of extreme for general error distribution under power normalization (English)
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18 May 2012
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The authors consider the rates of convergence of extremes for a general error distribution (GED) \(F\) under power normalization. The probability density function of the GED is given by \[ f_{\upsilon}\left( x\right) =\frac{\upsilon\exp\left\{ -\left( 1/2\right) \left| \text{\thinspace}x/\lambda\right| ^{\upsilon}\right\} }{\lambda 2^{1+1/\upsilon}{\Gamma}\left( 1/\upsilon\right) } \] for \(\upsilon>0\) and \(x\in\mathbb R\), where \(\lambda=\left[ 2^{-2/\upsilon }{\Gamma}\left( 1/\upsilon\right) /{\Gamma}\left( 3/\upsilon\right) \right] ^{1/2}\) and \({\Gamma}\left( \cdot\right) \) denote the Gamma function. The GED belongs to the domain of attraction of a distribution \({\Phi}_{1}\) under power normalization, where \({\Phi}_{1}\left( x\right) =\exp\left\{ -x^{-1}\right\} \), \(x>0\). He provides two main results. The first result states that the uniform convergence rate of \(F^{n}\left( \alpha_{n}x^{\beta_{n}}\right) \) to its limit \({\Phi}_{1}\left( x\right) \), where \(\alpha_{n}>0\) and \(\beta_{n}>0\) are some normalizing constants, is of order \(O\left( \frac{1}{\log n}\right)\). The second result shows that the pointwise convergence rate of \(F^{n}\left( \alpha_{n}x^{\beta_{n}}\right) \) to its limit is of order \(O\left( \exp\left\{ -x^{-1}\right\} \frac{1}{x} \beta_{n}\right) \).
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\(p\)-max stable laws
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general error distribution
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maximum
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uniform convergence rate
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