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Approximation by Penultimate Extreme Value Distributions

In certain cases the distribution of the normalized maximum of a sample can be better approximated by a sequence of different extreme value distributions than by the final one. We show that these cases are rather restricted and that the possible improvement is not spectacular.
Year of publication:
1998-03-23
Authors: Haan, Laurens F.M. de
Institutions: Tinbergen Institute
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application/pdf
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Type of publication: Book / Working Paper
Notes:
The text is part of a series Tinbergen Institute Discussion Papers Number 98-035/4
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Persistent link: https://www.econbiz.de/10005281687
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