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Rates of Convergence for Bivariate Extremes

Author

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  • de Haan, L.
  • Peng, L.

Abstract

Under a second order regular variation condition, rates of convergence of the distribution of bivariate extreme order statistics to its limit distribution are given both in the total variation metric and in the uniform metric.

Suggested Citation

  • de Haan, L. & Peng, L., 1997. "Rates of Convergence for Bivariate Extremes," Journal of Multivariate Analysis, Elsevier, vol. 61(2), pages 195-230, May.
    • Handle: RePEc:eee:jmvana:v:61:y:1997:i:2:p:195-230
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    References listed on IDEAS

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    1. Omey, E. & Rachev, S. T., 1991. "Rates of convergence in multivariate extreme value theory," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 36-50, July.
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    Cited by:

    1. Falk, Michael & Reiss, Rolf Dieter, 2002. "A characterization of the rate of convergence in bivariate extreme value models," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 341-351, October.
    2. Falk, Michael & Reiss, Rolf-Dieter, 2005. "On Pickands coordinates in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 426-453, February.
    3. Ulrich Horst & Wei Xu, 2024. "Functional Limit Theorems for Hawkes Processes," Papers 2401.11495, arXiv.org, revised Nov 2024.
    4. Geluk, J. & de Haan, L. & Resnick, S. & Starica, C., 1997. "Second-order regular variation, convolution and the central limit theorem," Stochastic Processes and their Applications, Elsevier, vol. 69(2), pages 139-159, September.
    5. Laurens F.M. de Haan & Liang Peng & T.T. Pereira, 1997. "A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index," Tinbergen Institute Discussion Papers 97-099/4, Tinbergen Institute.

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