Rate of convergence for the generalized Pareto approximation of the excesses

Advances in Applied Probability

Volumn 35, Issue 4, 2003, Pages 1007-1027

  Raoult, J P ^a   Worms, R ^a  

^a UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Excesses; Generalized Pareto distribution; Rate of convergence

Indexed keywords

APPROXIMATION THEORY; CONVERGENCE OF NUMERICAL METHODS; FUNCTIONS; PARETO PRINCIPLE;

EXTREME-VALUE DISTRIBUTION; NORMALIZING FUNCTIONS;

PROBABILITY;

EID: 0344514150     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1067436332     Document Type: Article

References (13)

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