On the norming constants for normal maxima

DOI10.1016/J.JMAA.2014.08.025zbMATH Open1334.60092arXiv1308.5541OpenAlexW2963103784MaRDI QIDQ458327FDOQ458327

Authors: Armengol Gasull, Maria Jolis, Frederic Utzet 

Publication date: 7 October 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: In a remarkable paper, Peter Hall [{it On the rate of convergence of normal extremes}, J. App. Prob, {�f 16} (1979) 433--439] proved that the supremum norm distance between the distribution function of the normalized maximum of $n$ independent standard normal random variables and the distribution function of the Gumbel law is bounded by $3/logn$. In the present paper we prove that choosing a different set of norming constants that bound can be reduced to $1/logn$. As a consequence, using the asymptotic expansion of a Lambert $W$ type function, we propose new explicit constants for the maxima of normal random variables.

Full work available at URL: https://arxiv.org/abs/1308.5541

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zbMATH Keywords

extreme value theoryLambert \(W\) functionGaussian law

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

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Cited In (7)

• Normality of the maximum principle for nonconvex constrained Bolza problems
• On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter
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• Online change-point detection for matrix-valued time series with latent two-way factor structure
• Maxima of gamma random variables and other Weibull-like distributions and the Lambert \(W\) function
• Convergence criteria for maxima with regularly varying normalizing constants
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