Rates of convergence in multivariate extreme value theory

Abstract:

We discuss rates of convergence for the distribution of normalized sample extremes to the appropriate limit distribution. We show that the rate of convergence depends on that of the corresponding dependence functions and that of the marginals. The univariate results are well known by now, so we restrict our attention to dependence functions (Sections 2 and 3). In the final section of the paper we obtain a Berry-Esséen type result for multivariate extremes. © 1991.

Año de publicación:

1991

Keywords:

• dependence functions
• Regular variation
• multivariate extreme values
• uniform rates of convergence

Fuente:

scopus