The convergence rate for the normal approximation of extreme sums

Shihong Cheng; Yongcheng Qi

doi:10.1016/j.na.2009.01.113

The convergence rate for the normal approximation of extreme sums

Shihong Cheng, Yongcheng Qi

Mathematics & Statistics

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	e1082-e1093
Journal	Nonlinear Analysis, Theory, Methods and Applications
Volume	71
Issue number	12
DOIs	https://doi.org/10.1016/j.na.2009.01.113
State	Published - Dec 15 2009

Bibliographical note

Funding Information:
The authors would like to thank the two referees for their careful reading of the manuscript and for their constructive suggestions that have improved the presentation of the paper. Qi’s research was supported by NSF grant DMS 0604176.

Keywords

Convergence rate
Extreme sum
Normal approximation

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10.1016/j.na.2009.01.113

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title = "The convergence rate for the normal approximation of extreme sums",

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.",

keywords = "Convergence rate, Extreme sum, Normal approximation",

author = "Shihong Cheng and Yongcheng Qi",

note = "Funding Information: The authors would like to thank the two referees for their careful reading of the manuscript and for their constructive suggestions that have improved the presentation of the paper. Qi{\textquoteright}s research was supported by NSF grant DMS 0604176.",

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AB - 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.

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KW - Normal approximation

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The convergence rate for the normal approximation of extreme sums

Abstract

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Keywords

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