In this article we consider the asymptotic behavior of extreme distribution with the extreme value index
. The rates of uniform convergence for Fréchet distribution are constructed under the second-order regular variation condition.
References
[1]
Haan, L. and Ferreira, A. (2006) Extreme Value Theory. Springer, New York. https://doi.org/10.1007/0-387-34471-3
[2]
Fisher, R.A. and Tippett, L.H.C. (1928) Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample. MathematicalProceedingsoftheCambridgePhilosophicalSociety, 24, 180-190. https://doi.org/10.1017/S0305004100015681
[3]
Gnedenko, B.V. (1943) Sur La Distribution Limite Du Terme Maximum D’Une Serie Aleatoire. AnnalsofMathematics, 44, 423-453. https://doi.org/10.2307/1968974
[4]
de Haan, L. and Peng, L. (1997) Rates of Convergence for Bivariate Extremes. JournalofMultivariateAnalysis, 61, 195-230. https://doi.org/10.1006/jmva.1997.1669
[5]
de Haan, L. and Resnick, S. (1996) Second Order Regular Variation and Rates of Convergence in Extreme Value Theory. AnnalsofProbability, 24, 97-124. https://doi.org/10.1214/aop/1042644709
[6]
Cheng, S. and Jiang, C. (2001) The Edgeworth Expansion for Distributions of Extreme Values. ScienceinChinaSeriesA: Mathematics, 44, 427-437. https://doi.org/10.1007/BF02881879
[7]
Liao, X., Peng, Z., Nadarajah, S. and Wang, X. (2014) Rates of Convergence of Extremes from Skew-Normal Samples. StatisticsandProbabilityLetters, 84, 40-47. https://doi.org/10.1016/j.spl.2013.09.027
[8]
Peng, Z., Weng, Z. and Nadarajah, S. (2010) Rates of Convergence of Extremes for Mixed Exponential Distributions. MathematicsandComputersinSimulation, 81, 92-99. https://doi.org/10.1016/j.matcom.2010.07.003
[9]
Chen, S. and Huang, J. (2014) Rates of Convergence of Extreme for Asymmetric Normal Distribution. StatisticsandProbabilityLetters, 84, 158-168. https://doi.org/10.1016/j.spl.2013.10.003
[10]
Chen, S. and Feng, B. (2014) Rates of Convergence of Extreme for STSD under Power Normalization. JournaloftheKoreanStatisticalSociety, 43, 609-619. https://doi.org/10.1016/j.jkss.2014.02.001
[11]
Chen, S., Wang, C. and Zhang, G. (2014) Rates of Convergence of Extreme for General Error Distribution under Power Normalization. StatisticsandProbabilityLetters, 82, 385-395. https://doi.org/10.1016/j.spl.2011.10.019
[12]
Lin, J. (2012) Second Order Asymptotics for Ruin Probabilities in a Renewal Risk Model with Heavy-Tailed Claims. Insurance: MathematicsandEconomics, 51, 422-429. https://doi.org/10.1016/j.insmatheco.2012.07.001
[13]
Mao, T. and Hu, T. (2013) Second-Order Properties of Risk Concentrations without the Condition of Asymptotic Smoothness. Extremes, 16, 383-405. https://doi.org/10.1007/s10687-012-0164-z
[14]
Resnick, S.I. (1987) Extreme Values, Regular Variation, and Point Processes. Springer, New York. https://doi.org/10.1007/978-0-387-75953-1
[15]
de Haan, L. (1970) On Regular Variation and Its Application to the Weak Convergence of Sample Extremes. Mathematisch Centrum, Amsterdam.