General regular variation of \(n\)-th order and 2nd order Edgeworth expansion of the extreme value distribution. I

DOI10.1007/s10114-004-0486-0zbMath1081.62009OpenAlexW2467529457MaRDI QIDQ2581249

Shi Hong Cheng, Xiao Qian Wang

Publication date: 9 January 2006

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

Full work available at URL: https://doi.org/10.1007/s10114-004-0486-0

zbMATH Keywords

extreme value distributionEdgeworth expansiongeneral regular variation

Mathematics Subject Classification ID

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

Related Items

Estimation of the third-order parameter in extreme value statistics ⋮ General regular variation of \(n\)\,th order and the 2nd order Edgeworth expansion of the extreme value distribution. II ⋮ Second order regular variation and conditional tail expectation of multiple risks ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ Estimation of a scale second-order parameter related to the PORT methodology

Cites Work

• The Edgeworth expansion for distributions of extreme values
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• ∏-Variation with Remainder
• Sur un mode de croissance régulière. Théorèmes fondamentaux
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