Rate of convergence for the generalized Pareto approximation of the excesses

DOI10.1239/AAP/1067436332zbMATH Open1044.60041OpenAlexW1978818775MaRDI QIDQ4454110FDOQ4454110

Jean-Pierre 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

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zbMATH Keywords

maximumlimiting distributionuniform rate of convergenceconditioned on exceeding a value

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

• Statistical inference using extreme order statistics
• Residual life time at great age
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• Second-order regular variation and rates of convergence in extreme-value theory
• A convergence rate in extreme-value theory
• Uniform rates of convergence in extreme-value theory
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• Convergence rates for the ultimate and pentultimate approximations in extreme-value theory
• Penultimate limiting forms in extreme value theory
• Comparison between two indicators for the variation regularity of tails of distributions
• Rapid variation with remainder and rates of convergence

Cited In (10)

• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• Penultimate approximation for the distribution of the excesses
• Rate of convergence for the generalized Pareto approximation of excess distributions
• A characterization of the rate of convergence in bivariate extreme value models
• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Implicit renewal theory for exponential functionals of Lévy processes
• On the relative approximation error of the generalized Pareto approximation for a high quantile
• Coupon collector's problem and generalized Pareto distributions
• Penultimate approximations in statistics of extremes and reliability of large coherent systems

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