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On large deviations for approximations of SDEs

✍ Scribed by A. Yu. Veretennikov


Publisher
Springer
Year
2003
Tongue
English
Weight
121 KB
Volume
125
Category
Article
ISSN
1432-2064

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On large deviation for extremes
✍ Holger Drees; Laurens de Haan; Deyuan Li πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 224 KB

Recently, a weighted approximation for the tail empirical distribution function has been developed (Approximations to the tail empirical distribution function with application to testing extreme value conditions. preprint, submitted for publication). We show that the same result can also be used to