Penultimate approximation for the excesses
Let \(F\) be a distribution function (d.f.) in the maximum domain of attraction of an extreme value distribution with the parameter \(\gamma\). If \(F_u\) is the d.f. of the excesses over \(u\), and \(u\) tends to the right end-point of \(F\), then the d.f. \(F_u\) of the excesses over \(u\) tends to a corresponding d.f. of the generalized Pareto distribution. In a previous paper (2000), the author studied the asymptotic behaviour of the ``ultimate approximation of \(F_u\). The present paper gives appropriate conditions that ensure the asymptotic behaviour of the ``penultimate approximation \(F_u\) of the excesses, and proves that its rate of convergence is faster than the convergence rate of the ``ultimate approximation.
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- scientific article; zbMATH DE number 4003248
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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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