On the rate of convergence of normal extremes
暂无分享,去创建一个
Let Y n denote the largest of n independent N (0, 1) variables. It is shown that if the constants a n and b n are chosen in an optimal way then the rate of convergence of ( Y n – b n )/ a n to the extreme value distribution exp(– e –x ), as measured by the supremum metric or the Levy metric, is proportional to 1/log n.
[1] R. Fisher,et al. Limiting forms of the frequency distribution of the largest or smallest member of a sample , 1928, Mathematical Proceedings of the Cambridge Philosophical Society.
[2] B. Gnedenko. Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire , 1943 .
[3] Irene A. Stegun,et al. Handbook of Mathematical Functions. , 1966 .
[4] A Generalization of the Lindeberg-Feller Theorem , 1967 .