Penultimate approximations in extreme value theory (Q5936309)

Let \(X_{n}, n\in N,\) be a sequence of independent, identically distributed r.v.'s with common distribution function \(F.\) In the recent paper by \textit{M. I. Gomes} and \textit{L. de Haan} [ibid. 2, No. 1, 71-85 (1999; Zbl 0947.60019)] exact penultimate approximation rates w.r.t. the variational distance under the von Mises type conditions are derived assuming that \(F\) is four times differentiable or three times differentiable under an additional condition. It is shown that an improvement of the approximation rate is possible if the ultimate and the penultimate rate are slowly varying functions of \(n.\) This approach is not restricted to the Gumbel domain of attraction. In the present paper a result related to that of \textit{M. I. Gomes} and \textit{L. de Haan} (loc. cit.) is proposed under weaker conditions. There are assumed the von Mises condition and the second order condition for which a second derivative of \(F\) is merely required. It is also shown that the improvement by penultimate approximation is of order \((\log n)^{-1},\) if the penultimate rate \(\varphi_{n}\) is an algebraic function of the ultimate rate \(\eta_{n},\) that is \(\varphi_{n}=\eta_{n}^{1+b}.\) Such rates are observed, for example, by M. I. Gomes and L. de Haan.