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Rates of Convergence for Bivariate Extremes

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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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 61 (1997)
Issue (Month): 2 (May)
Pages: 195-230

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Handle: RePEc:eee:jmvana:v:61:y:1997:i:2:p:195-230

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Related research

Keywords: Second order regular variation extremes rate of convergence;

References

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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. repec:dgr:uvatin:2097099 is not listed on IDEAS
  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. 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.
  4. 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.
  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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