Convergence rates of limit distribution of maxima of lognormal samples

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:395

Article

Liao, Xin¹  Peng, Zuoxiang¹ 

[1] Southwest Univ, Sch Math & Stat, Chongqing 400715, Peoples R China

关键词: Extreme value distribution;    Logarithmic normal distribution;    Maximum;    Uniform convergence rate;   

DOI  :  10.1016/j.jmaa.2012.05.077

来源: Elsevier

【 摘 要 】

Let M-n denote the partial maximum of an independent and identically distributed lognormal random sequence. In this paper, we derive the exact uniform convergence rate of the distribution of the normalized maximum (M-n - b(n))/a(n), to its extreme value distribution, where the constants a(n) and b(n) are chosen by an optimal way. (C) 2012 Elsevier Inc. All rights reserved.

【 授权许可】

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