The Edgeworth expansion for distributions of extreme values

DOI10.1007/BF02881879zbMath1001.62009OpenAlexW2226247083MaRDI QIDQ1609656

Changguo Jiang, Shi Hong Cheng

Publication date: 15 August 2002

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02881879

zbMATH Keywords

Edgeworth expansionsrate of uniform convergenceregular variation of second order

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items (14)

On Accompanying Measures and Asymptotic Expansions in the B. V. Gnedenko Limit Theorem ⋮ The estimation of parameters for the tapered Pareto distribution from incomplete data ⋮ General regular variation of \(n\)\,th order and the 2nd order Edgeworth expansion of the extreme value distribution. II ⋮ On large deviation for extremes. ⋮ Rates of convergence of extreme for asymmetric normal distribution ⋮ Second order regular variation and conditional tail expectation of multiple risks ⋮ A survey on semi-tensor product of matrices ⋮ Tail approximations to the density function in EVT ⋮ On the Rate of Convergence of STSD Extremes ⋮ Convergence rate of extremes from Maxwell sample ⋮ Asymptotic normality of extreme value estimators on \(C[0,1\)] ⋮ Approximations to the tail empirical distribution function with application to testing extreme value conditions ⋮ A class of distribution functions with less bias in extreme value estimation ⋮ General regular variation of \(n\)-th order and 2nd order Edgeworth expansion of the extreme value distribution. I

Cites Work

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• Second-order regular variation and rates of convergence in extreme-value theory
• Sur la distribution limite du terme maximum d'une série aléatoire
• The rate of convergence in law of the maximum of an exponential sample
• ∏-Variation with Remainder
• The rate of convergence in distribution of the maxima
• Uniform rates of convergence in extreme-value theory
• On the rate of convergence of normal extremes
• Functional central limit theorems for processes with positive drift and their inverses

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