Approximations in Extreme Value Theory.

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.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1987
Accession Number
ADA189817

Entities

People

  • Richard L. Smith

Organizations

  • University of North Carolina at Chapel Hill

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Convergence
  • Data Science
  • Distribution Functions
  • Information Science
  • Integral Transforms
  • Integrals
  • Normal Distribution
  • North Carolina
  • Order Statistics
  • Probability
  • Probability Distributions
  • Standards
  • Statistics
  • Stochastic Processes
  • Surveys
  • Theorems

Readers

  • Economics
  • Operations Research
  • Theoretical Analysis.