On large deviation for extremes.

DOI10.1016/S0167-7152(03)00130-5zbMath1113.62329OpenAlexW2071209675MaRDI QIDQ1423151

Holger Drees, Deyuan Li, Laurens De Haan

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(03)00130-5

zbMATH Keywords

MaximaLarge deviationsExtremesconditionWeighted approximationSecond orderExtreme value distributionTail empirical distribution function

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Large deviations (60F10)

Related Items (11)

Sequential estimation of quantiles with applications to A/B testing and best-arm identification ⋮ On Accompanying Measures and Asymptotic Expansions in the B. V. Gnedenko Limit Theorem ⋮ Maximum likelihood estimators based on the block maxima method ⋮ Bootstrapping Extreme Value Estimators ⋮ Tail approximations to the density function in EVT ⋮ Approximations to the tail empirical distribution function with application to testing extreme value conditions ⋮ On second order conditions in the multivariate block maxima and peak over threshold method ⋮ The coupling method in extreme value theory ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ On the block maxima method in extreme value theory: PWM estimators ⋮ On large deviations of extremes under power normalization

Cites Work

• Unnamed Item
• The Edgeworth expansion for distributions of extreme values
• Second-order regular variation and rates of convergence in extreme-value theory
• Approximations to the tail empirical distribution function with application to testing extreme value conditions
• On Smooth Statistical Tail Functionals

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