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