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Teoriya Veroyatnostei i ee Primeneniya, 2022, Volume 67, Issue 1, Pages 57–80
DOI: https://doi.org/10.4213/tvp5405
(Mi tvp5405)
 

On accompanying measures and asymptotic expansions in the B. V. Gnedenko limit theorem

V. I. Piterbargabc, Yu. A. Shcherbakovaa

a Lomonosov Moscow State University
b Laboratory of Stochastic Analysis and its Applications, National Research University Higher School of Economics
c Scientific Research Institute for System Analysis of the Russian Academy of Sciences, Moscow
References:
Abstract: We propose a sequence of accompanying laws in the B. V. Gnedenko limit theorem for maxima of independent random variables with distributions lying in the Gumbel max domain of attraction. We show that this sequence provides a power-law convergence rate, whereas the Gumbel distribution provides only the logarithmic rate. As examples, we consider in detail the classes of Weibull and log-Weibull type distributions. For the entire Gumbel max domain of attraction, we propose a scale of classes of distributions that includes these two classes as a starting point.
Keywords: Gnedenko–Fisher–Tippet theorem, convergence rate, correction term, accompanying law.
Funding agency Grant number
Russian Foundation for Basic Research 20-51-15001
This work was supported by the RFBR and CNRS, project 20-51-15001.
Received: 07.04.2020
Revised: 16.02.2021
Accepted: 22.02.2021
English version:
Theory of Probability and its Applications, 2022, Volume 67, Issue 1, Pages 44–61
DOI: https://doi.org/10.1137/S0040585X97T990745
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. I. Piterbarg, Yu. A. Shcherbakova, “On accompanying measures and asymptotic expansions in the B. V. Gnedenko limit theorem”, Teor. Veroyatnost. i Primenen., 67:1 (2022), 57–80; Theory Probab. Appl., 67:1 (2022), 44–61
Citation in format AMSBIB
\Bibitem{PitShc22}
\by V.~I.~Piterbarg, Yu.~A.~Shcherbakova
\paper On accompanying measures and asymptotic expansions in the B.~V.~Gnedenko limit theorem
\jour Teor. Veroyatnost. i Primenen.
\yr 2022
\vol 67
\issue 1
\pages 57--80
\mathnet{http://mi.mathnet.ru/tvp5405}
\crossref{https://doi.org/10.4213/tvp5405}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=4466412}
\zmath{https://zbmath.org/?q=an:7523558}
\transl
\jour Theory Probab. Appl.
\yr 2022
\vol 67
\issue 1
\pages 44--61
\crossref{https://doi.org/10.1137/S0040585X97T990745}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85131010641}
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  • https://www.mathnet.ru/eng/tvp/v67/i1/p57
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