Penultimate approximation for the distribution of the excesses

Worms, Rym

ESAIM: Probability and Statistics, Tome 6 (2002), pp. 21-31

Let $F$ be a distribution function (d.f) in the domain of attraction of an extreme value distribution $H_{\gamma }$; it is well-known that $F_u\left(x\right)$, where $F_u$ is the d.f of the excesses over $u$, converges, when $u$ tends to $s_{+}\left(F\right)$, the end-point of $F$, to $G_{\gamma }\left(\frac{x}{\sigma \left(u\right)}\right)$, where $G_{\gamma }$ is the d.f. of the Generalized Pareto Distribution. We provide conditions that ensure that there exists, for $\gamma >-1$, a function $\Lambda$ which verifies ${lim}_{u\to s_{+}\left(F\right)}\Lambda \left(u\right)=\gamma$ and is such that $\Delta \left(u\right)={sup}_{x\in [0,s_{+}\left(F\right)-u[}|{\overline{F}}_u\left(x\right)-{\overline{G}}_{\Lambda \left(u\right)}(x/\sigma \left(u\right))|$ converges to $0$ faster than $d\left(u\right)={sup}_{x\in [0,s_{+}\left(F\right)-u[}|{\overline{F}}_u\left(x\right)-{\overline{G}}_{\gamma }(x/\sigma \left(u\right))|$.

Classification : 60G70, 62G20
Keywords: generalized Pareto distribution, excesses, penultimate approximation, rate of convergence

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