Accession Number : ADA189817
Title : Approximations in Extreme Value Theory.
Descriptive Note : Rept. for Sep 87-Aug 88,
Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES
Personal Author(s) : Smith, Richard L
PDF Url : ADA189817
Report Date : Sep 1987
Pagination or Media Count : 35
Abstract : Following a survey of rates of convergence in extreme value theory, a new class of approximations is developed and compared with existing approximations based on the extreme value distributions. Convergence in Hellinger distance is established, this distance measure being chosen because of its statistical applications. Numerical examples confirm the superiority of the new approximation. Keywords: Extreme value theory, Generalised extreme value distribution, Generlised Pareto distribution, Hellinger distance, Rates of convergence, Regular variation with reminder, Total variation distance.
Descriptors : *CONVERGENCE, *STOCHASTIC PROCESSES, APPROXIMATION(MATHEMATICS), DISTRIBUTION, MEASUREMENT, RANGE(DISTANCE), RATES, STATISTICS, THEORY, VARIATIONS
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE