Approximation by Penultimate Extreme Value Distributions

Laurens F.M. de Haan ()
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Laurens F.M. de Haan: Erasmus University Rotterdam

No 98-035/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In certain cases the distribution of the normalized maximumof a sample can be better approximated by a sequence ofdifferent extreme value distributions than by the final one. Weshow that these cases are rather restricted and that the possibleimprovement is not spectacular.

Date: 1998-03-23
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