Von Mises conditions, [delta]-neighborhoods and rates of convergence for maxima

Edgar Kaufmann

Statistics & Probability Letters, 1995, vol. 25, issue 1, 63-70

Abstract: It is well known that the rate of convergence, w.r.t. the variational distance, of normalized maxima to an extreme value distribution is of order O(n-[delta]), if the underlying distribution function F belongs to a certain [delta]-neighborhood of a generalized Pareto distribution. In this paper, we prove that the converse is true under mild monotonicity conditions on a certain von Mises term.

Keywords: Von; Mises; conditions; Extreme; value; theory; Rates; of; convergence; [delta]-neighborhood; Generalized; Pareto; distributions (search for similar items in EconPapers)
Date: 1995
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