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A characterization of the rate of convergence in bivariate extreme value models

✍ Scribed by Michael Falk; Rolf Dieter Reiss

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
111 KB
Volume
59
Category
Article
ISSN
0167-7152

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✦ Synopsis

It is well known that the rate of convergence of the extremes in an iid sample of univariate random variables is determined by the distance of the underlying distribution from a generalized Pareto distribution. We extend this result to higher dimensions.

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