Rate of convergence for the generalized Pareto approximation of the excesses

DOI10.1239/aap/1067436332zbMath1044.60041MaRDI QIDQ4454110

J.-P. Raoult, Rym Worms

Publication date: 7 March 2004

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1067436332

zbMATH Keywords

limiting distribution; maximum; uniform rate of convergence; conditioned on exceeding a value

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

60G70: Extreme value theory; extremal stochastic processes

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