Penultimate approximation for the excesses

DOI10.1016/S0764-4442(01)01980-2MaRDI QIDQ2741011zbMATH OpenOpenAlexFDO

Authors Rym Worms

Publication date 9 September 2001

Published in Comptes Rendus de l'Académie des Sciences. Série I. Mathématique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0764-4442(01)01980-2

zbMATH Keywords

asymptotic behaviourdistribution function of excessesextreme value theorygeneralized Pareto distributionultimate and penultimate approximations

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

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(9)

• A note on generalized Pareto distributions and the k upper extremes
• Approximation by penultimate extreme value distributions
• On the relative approximation error of the generalized Pareto approximation for a high quantile
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• Penultimate approximation for the distribution of the excesses
• scientific article; zbMATH DE number 4003248 (Why is no real title available?)
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• Strong Convergence of Peaks Over a Threshold

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