Rates of convergence in multivariate extreme value theory
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.
Year of publication: |
1991
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Authors: | Omey, E. ; Rachev, S. T. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 38.1991, 1, p. 36-50
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Publisher: |
Elsevier |
Keywords: | multivariate extreme values uniform rates of convergence regular variation dependence functions |
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