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

DOI10.1007/S10114-004-0486-0MaRDI QIDQ2581249zbMATH OpenOpenAlexFDO

Authors Xiaoqian Wang, Shihong Cheng

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

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 this part I the authors propose the concept of the general regular variation of \(n\)-th order and analyse its structure. This extension of regular variation is required to study of the higher order Edgeworth expansions for extreme value distributions.

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Cites work

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

Cited in

(8)

• The Edgeworth expansion for distributions of extreme values
• Estimation of the third-order parameter in extreme value statistics
• Estimation of a scale second-order parameter related to the PORT methodology
• General regular variation of \(n\)\,th order and the 2nd order Edgeworth expansion of the extreme value distribution. II
• Third order extended regular variation
• scientific article; zbMATH DE number 4111800 (Why is no real title available?)
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• Second order regular variation and conditional tail expectation of multiple risks

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