The convergence rate for the normal approximation of extreme sums

Shihong Cheng, Yongcheng Qi

Research output: Contribution to journalArticlepeer-review

Abstract

This paper derives the normal convergence rate for sums of extreme values. The exact rates are obtained under some regularity and smoothing conditions on the tail of the distribution of the sample.

Original languageEnglish (US)
Pages (from-to)e1082-e1093
JournalNonlinear Analysis, Theory, Methods and Applications
Volume71
Issue number12
DOIs
StatePublished - Dec 15 2009

Keywords

  • Convergence rate
  • Extreme sum
  • Normal approximation

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