Tail approximations to the density function in EVT

DOI10.1007/s10687-006-0013-zzbMath1164.62353OpenAlexW2124283582MaRDI QIDQ2463694

Deyuan Li, Juerg Hüsler

Publication date: 16 December 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/19441/1/10687_2006_Article_13.pdf

zbMATH Keywords

extreme value distributiondifferentiable domain of max-attractiondistributions of maxima

Mathematics Subject Classification ID

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

Related Items (3)

Some notes on extremal discriminant analysis ⋮ ON THE PROBABILITY OF BEING MAXIMAL ⋮ On the strong Kotz approximation of Dirichlet random vectors

Cites Work

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• The continuous and differentiable domains of attraction of the extreme value distributions
• Local limit theorems for sample extremes
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• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• The Edgeworth expansion for distributions of extreme values
• Second-order regular variation and rates of convergence in extreme-value theory
• Approximations to the tail empirical distribution function with application to testing extreme value conditions
• On Smooth Statistical Tail Functionals
• Uniform rates of convergence in extreme-value theory
• Comparison of tail index estimators
• A remark on quadrant normal probabilities in high dimensions

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