On large deviation for extremes

Statistics and Probability Letters

Volumn 64, Issue 1, 2003, Pages 51-62

  Drees, Holger ^a   de Haan, Laurens ^b   Li, Deyuan ^b  

^a SAARLAND UNIVERSITY   (Germany)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Extreme value distribution; Extremes; Large deviations; Maxima; Second order condition; Tail empirical distribution function; Weighted approximation

Indexed keywords

EID: 30244490515     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(03)00130-5     Document Type: Article

References (5)

1. Cheng S. Jiang C. The Edgeworth expansion for distributions of extreme values Sci. China 44 2001 427-437
2. Drees H. On smooth statistical tail functionals Scand. J. Statist. 25 1998 187-210
3. Drees, H., de Haan, L., Li, D., 2003. Approximations to the tail empirical distribution function with application to testing extreme value conditions. Preprint, submitted for publication.
4. de Haan L. Resnick S. Second order regular variation and rates of convergence in extreme value theory Ann. Probab. 24 1996 97-124
5. Resnick S. Extreme Values, Regular Variation, and Point Process 1987 Springer New York