On the norming constants for normal maxima

DOI10.1016/J.JMAA.2014.08.025MaRDI QIDQ458327zbMATH OpenOpenAlexFDO

Authors Armengol Gasull, Maria Jolis, Frederic Utzet

Publication date 7 October 2014

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.5541

zbMATH Keywords

extreme value theoryLambert \(W\) functionGaussian law

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

Abstract: In a remarkable paper, Peter Hall [{it On the rate of convergence of normal extremes}, J. App. Prob, {�f 16} (1979) 433--439] proved that the supremum norm distance between the distribution function of the normalized maximum of $n$ independent standard normal random variables and the distribution function of the Gumbel law is bounded by $3/logn$. In the present paper we prove that choosing a different set of norming constants that bound can be reduced to $1/logn$. As a consequence, using the asymptotic expansion of a Lambert $W$ type function, we propose new explicit constants for the maxima of normal random variables.

Recommendations

• Convergence rates of limit distribution of maxima of lognormal samples
• Maxima of gamma random variables and other Weibull-like distributions and the Lambert W function
• scientific article; zbMATH DE number 3913447
• scientific article; zbMATH DE number 4064244
• On asymptotic of extremes from generalized Maxwell distribution

Cites work

• scientific article; zbMATH DE number 3886512 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 4069000 (Why is no real title available?)
• scientific article; zbMATH DE number 1740985 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3308311 (Why is no real title available?)
• Approximating Mills ratio
• Asymptotic distribution and moments of normal extremes
• Asymptotic theory of statistics and probability
• Convergence rate of extremes for the general error distribution
• Convergence rates of limit distribution of maxima of lognormal samples
• Fast computation of some asymptotic functional inverses
• Mills' ratio: Monotonicity patterns and functional inequalities
• On Choosing and Bounding Probability Metrics
• On the Lambert \(w\) function
• On the rate of convergence of normal extremes
• Rates of convergence of extremes from skew-normal samples
• Second-order regular variation and rates of convergence in extreme-value theory
• Tail properties and asymptotic expansions for the maximum of the logarithmic skew-normal distribution

Cited in

(7)

• Normality of the maximum principle for nonconvex constrained Bolza problems
• On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter
• scientific article; zbMATH DE number 5260406 (Why is no real title available?)
• Online change-point detection for matrix-valued time series with latent two-way factor structure
• Maxima of gamma random variables and other Weibull-like distributions and the Lambert W function
• Convergence criteria for maxima with regularly varying normalizing constants
• scientific article; zbMATH DE number 6501123 (Why is no real title available?)

This page was built for publication: On the norming constants for normal maxima

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q458327)