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The logarithmic average of sample extremes is asymptotically normal

István Berkes and Lajos Horvath

Stochastic Processes and their Applications, 2001, vol. 91, issue 1, 77-98

Abstract: We obtain a strong approximation for the logarithmic average of sample extremes. The central limit theorem and laws of the iterated logarithm are immediate consequences.

Keywords: Extreme; value; Domain; of; attraction; Wiener; process; Strong; approximation; Laws; of; the; iterated; logarithm (search for similar items in EconPapers)
Date: 2001
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Handle: RePEc:eee:spapps:v:91:y:2001:i:1:p:77-98