On large deviation for extremes

Holger Drees, Laurens de Haan and Deyuan Li

Statistics & Probability Letters, 2003, vol. 64, issue 1, 51-62

Abstract: Recently, a weighted approximation for the tail empirical distribution function has been developed (Approximations to the tail empirical distribution function with application to testing extreme value conditions. preprint, submitted for publication). We show that the same result can also be used to improve a known uniform approximation of the distribution of the maximum of a random sample. From this a general result about large deviations of this maximum is derived. In addition, the relationship between two second-order conditions used in extreme value theory is clarified.

Keywords: Extremes; Extreme; value; distribution; Large; deviations; Maxima; Second; order; condition; Tail; empirical; distribution; function; Weighted; approximation (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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