Convergence to Fréchet distribution via Mallows distance

S. Mousavinasr, C.R. Gonçalves and C.C.Y. Dorea

Statistics & Probability Letters, 2020, vol. 163, issue C

Abstract: In the context of extremes we explore the connection between convergence to Fréchet distribution and Mallows distance. Under the framework of independent and identically distributed (i.i.d.) random variables classical results are derived. When the assumption of i.i.d. is dropped sufficient conditions for Mallows convergence are proposed.

Keywords: Mallows distance; Fréchet distribution; Extremes (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108776

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