TY - JOUR
T1 - Rates of convergence in multivariate extreme value theory
AU - Omey, E.
AU - Rachev, S. T.
N1 - Funding Information:
from the National Science Foundation.
PY - 1991/7
Y1 - 1991/7
N2 - We discuss rates of convergence for the distribution of normalized sample extremes to the appropriate limit distribution. We show that the rate of convergence depends on that of the corresponding dependence functions and that of the marginals. The univariate results are well known by now, so we restrict our attention to dependence functions (Sections 2 and 3). In the final section of the paper we obtain a Berry-Esséen type result for multivariate extremes.
AB - We discuss rates of convergence for the distribution of normalized sample extremes to the appropriate limit distribution. We show that the rate of convergence depends on that of the corresponding dependence functions and that of the marginals. The univariate results are well known by now, so we restrict our attention to dependence functions (Sections 2 and 3). In the final section of the paper we obtain a Berry-Esséen type result for multivariate extremes.
KW - dependence functions
KW - multivariate extreme values
KW - regular variation
KW - uniform rates of convergence
UR - http://www.scopus.com/inward/record.url?scp=0002665839&partnerID=8YFLogxK
U2 - 10.1016/0047-259X(91)90030-6
DO - 10.1016/0047-259X(91)90030-6
M3 - Article
AN - SCOPUS:0002665839
SN - 0047-259X
VL - 38
SP - 36
EP - 50
JO - Journal of Multivariate Analysis
JF - Journal of Multivariate Analysis
IS - 1
ER -