×

Uniform rates of convergence in extreme-value theory - normal and gamma models. (English) Zbl 0652.62014

A class of distribution functions F(x), in the domain of attraction for maxima of the Gumbel law \(\Lambda (x)=\exp (-\exp (-x))\), \(x\in R\), is considered in particular, relevant elements of this class being the normal and gamma distributions. Applying a technique similar in spirit to that one used by P. Hall [J. Appl. Probab. 16, 433-439 (1979; Zbl 0403.60024)], we develop uniform upper and lower bounds for \[ \sup_{x\in R}| F^ n(a_ nx+b_ n)-\Lambda (x)| \] for a suitable choice of attraction coefficients \(\{a_ n\}_{n\geq 1}\) \((a_ n>0)\), and \(\{b_ n\}_{n\geq 1}\). The bounds obtained in a normal context compare favourably with the ones obtained in Hall’s paper. A few unsolved points related to gamma distributions with shape parameter smaller than one are emphasized.

MSC:

62E20 Asymptotic distribution theory in statistics

Citations:

Zbl 0403.60024

References:

[1] Anderson , C.W. ( 1971 ). Contributions to the asymptotic theory of extreme values , Ph. D. Thesis, Imperial College , London .
[2] Anderson , C.W. ( 1976 ). Extreme value theory and its approximations . Proc. Symp. Reliability Technology . Bradford , UKAEA .
[3] Canto e Castro , L. ( 1936 ). Velocidade de convergência em teoria de valores extremes . Tese de Restrado, Fac. Ciências , Lisboa .
[4] Cohen , J.P. ( 1982 a). The penultimate form of approximation to normal extremes . Adu. Appl. Prob. , 14 , 324 - 339 . MR 650126 | Zbl 0486.62026 · Zbl 0486.62026 · doi:10.2307/1426524
[5] Cohen , J.P. ( 1982 b). Convergence rates for the ultimate and penultimate approximations in extreme value theory . Adv. Appl. Prob. , 14 , 833 - 854 . MR 677559 | Zbl 0496.62019 · Zbl 0496.62019 · doi:10.2307/1427026
[6] Fisher , R.A. and L.H.C. Tippet ( 1928 ). Limiting forms of the large or smallest member of a sample , Proc. Camb. Phil. Soc. , 24 , 180 - 190 . JFM 54.0560.05 · JFM 54.0560.05
[7] Galambos , J. ( 1978 ). The Asymptotic Theory of Extreme Order Statistics , Wiley , New York . MR 489334 | Zbl 0381.62039 · Zbl 0381.62039
[8] Gnedenko , B. ( 1943 ). Sur la distribution limite du terme maximum d’une série aléatoire , Ann. Math. , 44 , 423 - 453 . MR 8655 | Zbl 0063.01643 · Zbl 0063.01643 · doi:10.2307/1968974
[9] Gomes , M.I. ( 1978 ). Some probabilistic and statistical problems in extreme value theory , Ph.D. Thesis, Sheffield , England.
[10] Gomes , M.I. ( 1984 ). Penultimate limiting forms in extreme value theory , Ann. Inst. Statist. Math. , 36 , Part A, 71 - 85 . MR 752007 | Zbl 0561.62015 · Zbl 0561.62015 · doi:10.1007/BF02481954
[11] Hall , P. ( 1979 ). On the rate of convergence of normal extremes , J. Appl. Prob. , 16 , 433 - 439 . MR 531778 | Zbl 0403.60024 · Zbl 0403.60024 · doi:10.2307/3212912
[12] Uzgoren , N.T. ( 1954 ). The asymptotic development of the distribution of the extreme values of a sample, Studies in Mathematics and Mechanics Presented to R. von Mises , Academic Press , New York . MR 67415 | Zbl 0058.35105 · Zbl 0058.35105
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.