General regular variation of n\,th order and the 2nd order Edgeworth expansion of the extreme value distribution. II

DOI10.1007/S10114-005-0566-9MaRDI QIDQ2431884zbMATH OpenOpenAlexFDO

Authors Xiaoqian Wang, Shihong Cheng

Publication date 24 October 2006

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-005-0566-9

zbMATH Keywords

Edgeworth expansionextreme value distributiongeneral regular variation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Review text

In part one of this paper [ibid. 21, No. 5, 1121-1130 (2005; Zbl 1081.62009)] the concept of general regular variation of \(n\)\,th order has been introduced. In this second part the authors use this concept to obtain a second order Edgeworth expansion for shifted and scaled sample maxima \(a_n^{-1} (\max \{ X_1, \ldots, X_n\} - b_n)\) of i.i.d.~sequences \((X_n)_{n\geq 1}\). This expansion is obtained under the assumption that the left continuous inverse of \(-1/\log F\) is general regularly varying of third order, where \(F\) denotes the distribution function of \(X_1\). Some inequalities for general regularly varying functions of third order are also obtained.

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Cites work

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Cited in

(12)

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• Third order extended regular variation
• SECOND ORDER REGULAR VARIATION AND ITS APPLICATIONS TO RATES OF CONVERGENCE IN EXTREME-VALUE DISTRIBUTION
• scientific article; zbMATH DE number 4111800 (Why is no real title available?)
• On accompanying measures and asymptotic expansions in the B. V. Gnedenko limit theorem
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• Estimation of extreme quantiles from heavy-tailed distributions with neural networks
• ExceedGAN: simulation above extreme thresholds using generative adversarial networks
• Expansions for the joint distribution of the sample maximum and sample estimate

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