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Local Limit Theorems for Sample Extremes

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  • de Haan, L.
  • Resnick, S. I.

Abstract

A local limit theorem for maxima of i.i.d. random variables is proved. Also it is shown that under the so-called von Mises' conditions the density of the normalized maximum converges to the limit density in Lp (0 < p < co) provided both the original density and the limit density are in L Finally an occupation time result is proved. The methods of proof are different from those used for the corresponding results concerning partial sums.

Suggested Citation

  • de Haan, L. & Resnick, S. I., 1979. "Local Limit Theorems for Sample Extremes," Econometric Institute Archives 272194, Erasmus University Rotterdam.
    • Handle: RePEc:ags:eureia:272194
    DOI: 10.22004/ag.econ.272194
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    References listed on IDEAS

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    1. De Haan, Laurens, 1974. "Equivalence classes of regularly varying functions," Stochastic Processes and their Applications, Elsevier, vol. 2(3), pages 243-259, July.
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    Cited by:

    1. Kloek, T., 1979. "Ols Estimation In A Model Where A Microvariable Is Explained By Aggregates And Contemporaneous Disturbances Are Equicorrelated," Econometric Institute Archives 272195, Erasmus University Rotterdam.

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