Vitesse de convergence de l'approximation de Pareto généralisée de la loi des excès

DOI10.1016/S0764-4442(01)01979-6zbMath1013.62014MaRDI QIDQ2745758

Rym Worms

Publication date: 26 June 2003

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

zbMATH Keywords

convergence rategeneralized Pareto distributiondistribution approximationextreme value distribution of excessesoptimal normalizing functions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inequalities; stochastic orderings (60E15) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (4)

Penultimate approximation for the distribution of the excesses ⋮ Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling ⋮ Sharp large deviations in nonparametric estimation ⋮ Comparison between two indicators for the variation regularity of tails of distributions

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