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Tail approximations to the density function in EVT. (English) Zbl 1164.62353

For a sequence of i.i.d. random variables which belongs to the domain of max-attraction of an extreme value distribution, the convergence of the PDF of the normalized maxima is investigated. Asymptotic expansions and the rate of convergence in a weighted sup-norm are derived under some second-order conditions.

MSC:

62G32 Statistics of extreme values; tail inference
62E20 Asymptotic distribution theory in statistics
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References:

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