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The rate of convergence in distribution of the maxima

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  • Richard A. Davis

Abstract

Assume the normalized maxima, from an independent and identically distributed sequence of random variables, converge in distribution to a non‐degenerate random variable with extreme value distribution G(x). We derive a pointwise rate for this convergence which holds for all n and x with G(x) > 0. A closer examination of this result suggests how a uniform rate can be obtained.

Suggested Citation

  • Richard A. Davis, 1982. "The rate of convergence in distribution of the maxima," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 36(1), pages 31-35, March.
    • Handle: RePEc:bla:stanee:v:36:y:1982:i:1:p:31-35
    DOI: 10.1111/j.1467-9574.1982.tb00772.x
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    Cited by:

    1. Juraj Bodik, 2024. "Extreme Treatment Effect: Extrapolating Dose-Response Function into Extreme Treatment Domain," Mathematics, MDPI, vol. 12(10), pages 1-36, May.

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