×

The asymptotic property of additive excesses and the extreme values theory: The case of Gumbel extremal distribution. (Propriété asymptotique des excès additifs et valeurs extrêmes: Le cas de la loi de Gumbel.) (French. Abridged English version) Zbl 0916.60054

A distribution \(P\) on \(\mathbb{R}\) is said to lie in the domain of attraction of the Gumbel extremal distribution if there exist sequences \((a_n)\) in \(\mathbb{R}^*_+\) and \((b_n)\) in \(\mathbb{R}\) such that \[ (\forall x\in\mathbb{R})\;\lim_nF^n (a_nx+b_n)=\exp(-e^{-x}).\tag{D} \] Here the author proposes a sufficient condition to ensure that (D) holds. This condition, the additive excesses property, is more restrictive than the classical condition given by J. Galambos [“The asymptotic theory of extreme order statistics” (1978; Zbl 0381.62039)], but is more suitable in allowing a probabilistic interpretation.
Reviewer: A.Dale (Durban)

MSC:

60G70 Extreme value theory; extremal stochastic processes

Citations:

Zbl 0381.62039
Full Text: DOI