Remark on rates of convergence to extreme value distributions via the Stein equations (Q2198599)
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scientific article
| Language | Label | Description | Also known as |
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| English | Remark on rates of convergence to extreme value distributions via the Stein equations |
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Remark on rates of convergence to extreme value distributions via the Stein equations (English)
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10 September 2020
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The authors obtain the uniform rates of convergence of the normalized partial maxima of independent and identically distributed random variables to a random variable having one of the Fréchet, the Weibull or the Gumbel law, with respect to the Kolmogorov distance using the Stein equations and integration-by-parts formulae. Examples are given for the uniform rates in each of the three cases.
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extreme value distributions
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integration-by-parts formula
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Stein equations
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Kolmogorov distance
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uniform convergence rates
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