Approximating the distribution of an extreme value statistic based on estimated from a generating function

William P. McCormick and Jack H. Reeves

Stochastic Processes and their Applications, 1987, vol. 27, 307-316

Abstract: A method for approximating the terms of a generating function is used to approximate the distribution of an extreme value statistic. The approximation obtained yiels sharper estimates of the exact distribution than that given by the asymptotic distribution and, furthermore, yields a large deviation result.

Keywords: extreme; values; generating; function; equivalent; sample; size; asymptotic; distribution (search for similar items in EconPapers)
Date: 1987
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