Convergence rates of limit distribution of maxima of lognormal samples (Q448264): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
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 \(n\). | |||
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 | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Sreenivasan Ravi / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62E20 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62G32 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G70 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6074416 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
extreme value distributions | |||
Property / zbMATH Keywords: extreme value distributions / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
logarithmic normal distributions | |||
Property / zbMATH Keywords: logarithmic normal distributions / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
maxima | |||
Property / zbMATH Keywords: maxima / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
uniform convergence rates | |||
Property / zbMATH Keywords: uniform convergence rates / rank | |||
Normal rank |
Revision as of 10:37, 30 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Convergence rates of limit distribution of maxima of lognormal samples |
scientific article |
Statements
Convergence rates of limit distribution of maxima of lognormal samples (English)
0 references
30 August 2012
0 references
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 \(n\).
0 references
extreme value distributions
0 references
logarithmic normal distributions
0 references
maxima
0 references
uniform convergence rates
0 references