Applied Probability Trust

A Convergence Rate in Extreme-Value Theory

Author(s): A. A. Balkema and L. De Haan
Source: Journal of Applied Probability, Vol. 27, No. 3 (Sep., 1990), pp. 577-585
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3214542
Accessed: 19-10-2015 10:24 UTC

Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at http://www.jstor.org/page/
info/about/policies/terms.jsp

JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content
in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship.
For more information about JSTOR, please contact support@jstor.org.

Applied Probability Trust is collaborating with JSTOR to digitize, preserve and extend access to Journal of Applied
Probability.

http://www.jstor.org

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
 J. Appl.Prob.27, 577-585(1990)
Printedin Israel
? Applied
ProbabilityTrust1990

A CONVERGENCERATE IN EXTREME-VALUETHEORY

A. A. BALKEMA,* vanAmsterdam
Universiteit
L. DE HAAN,**ErasmusUniversiteit
Rotterdam

Abstract
A uniformconvergence rateis determinedformaximaof i.i.d.randomvariables
froma distributionin the domainof attractionof thedouble-exponential
distribu-
tion. The resultis provedundera second-order conditionon the underlying
distribution theonegivenin Smith(1982)forthedomainof attraction
parallelling of
the bounded-below andbounded-above familiesof limitdistributions.
SAMPLE EXTREMES; DOUBLE-EXPONENTIALDISTRIBUTION

1. Introduction
Let X1,X2,- - - be independentrandom variableswith common distributionfunc-
tion F. Supposethere exist normingconstantsa > 0 and b, (n = 1, 2, ... ) such that
for allx ER
(1.1) lim -, Xn) - b, }/a, - x) = exp - e-x.
n - oo P{{((max(X,,

We are interestedin rate of convergenceresultsin (1.1). For examplewe want to give

naturaland generalconditionsso that
(1.2) sup IP((max(X,, --, X)- b }/a, x} - exp-e-xl q(b,) (n - oc)
xER

with a positive function q that can be expressed in terms of F and that satisfies
q(b,) = 0. Note thatfor positivesequencesu, and v, the relation u, X v, (n o)
limn• that unvn-' is bounded away from zero and infinity. A convergencerate
means -- for
bounded-aboveand bounded-belowextreme-valuedistributionshas been given by
Smith(1982). Ourconditionsandresultsbearsomeresemblanceto his. Previousresults
for the double-exponential(unbounded)limit law can be found in Cohen (1982) and
Resnick (1988).

Received 7 January1987; revision received 18 July 1989.

* Postal address:MathematischInstitut, Universiteit van Amsterdam,
Plantage Muidergracht24,
1018 TV Amsterdam,The Netherlands.
** Postal address:EconometricInstitute, ErasmusUniversity Rotterdam,P.O. Box 1738, 3000DR
Rotterdam,The Netherlands.
De Haan acknowledgespartial support from NSF Grant MCS 8202335 and from Colorado State
University. Both authorsare gratefulfor the hospitalityof CSU, Departmentof Statistics.
577

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
578 A. A. BALKEMA
ANDL. DEHAAN

Next we discussthe type of conditionswe wantto impose.Let

(1.3) f := ( - log - log F)'

with the arrow denoting the right-continuousinverse function. A necessary and
sufficientconditionfor FED(exp - e-x) is

- F(t + xa(t))
(1.4) lim 1 = e-x
tx* 1 - F(t)

for all x ER wherea is a suitablepositivefunctionandx* = x*(F) := sup{x IF(x) < I}.

Equivalentlywe have forf

(1.5) (1.5)f(t+ ) - f(t) x

lim
t-0o a(t) -

for all x ER wherea is a suitablepositive function.

A naturalsecond-orderconditionconnectedwith (1.4) is
1 - F(t + xa(t))
- e-x
1 - F(t)
(1.6) lim -FX, = -x2 e x ER, locally uniformly,
ttx* p(t) 2

for some functionofp of constantsign,p(t) # 0 forall t andlimtx. p(t) = 0. Equivalently

we have forf

+ x) - f(t) - xa(t) x2
(1.7)mf(t
(1.7) lim - 2 for x E R
-0co c(t)
wherec is some functionof constantsign, c(t) # 0 for all t.
Equivalentconditionsand sufficientconditionsfor (1.7) and (1.6) can be found in
Omey and Willekens(1988) and Dekkersand de Haan (1989, TheoremA.6) respec-
tively. The latterpaperalso gives the equivalenceof (1.6) and (1.7). In the formerpaper
it is shown that in (1.7) local uniformityis automatic.We shall show (Section2) that
undercondition(1.6) or (1.7) relation(1.2) holds with q = Ip1.
Some necessaryinequalitiesfor functionssatisfying(1.7) are given in an appendix.

2. Rate of convergencetowardsthe limit distribution

Theorem2.1. Suppose(1.6) or (1.7) holds. Then (1.2) holds with

b, = f(log n)

a, = (1 - - F(b,)}
Fl(b,)}/{(1
= - 1
q(b,) (1 - F (b )}2 -

where Fo:= F and for i = 1, 2,-

??

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
 rateinextreme-
A convergence valuetheory 579

1 - Fi(t)= max X*(1- F

{o, _-(u))du}
and x* = x*(F) := sup{x IF(x) < 1).
For the proof of the theoremwe need the followinglemmathat is a consequenceof
PropositionA2 in the appendix.
Lemma 2.2. Supposefsatisfies(1.7) withpositivec. Given e > 0 thereexiststosuch
that for t to,x 0
->
2
(t) f(t + X) - f(t) < c(t)
x+ ee"
e• < + ee"
a(t)t 2 a(t) r•
a(t)t2
and
c(t) - a(t + x) c(t)
1+ {(x ee"} < 1+ (x + ee"}.
a(t) a(t) a(i)
Corollary2.3. Supposef satisfies(1.7) with positive c. Given e > 0 there exists to
such that for t + x to,x 0
-
-
c(t) x c(t) (2+
2
i a(t) (x+ee a(t)
f(t + - f(t)c(t) (- x c(t)
x) 1 ) x -- x-2 - ee-x
<f(t < -ee
t) a a(t) a(t)\2 .

Proofof Theorem2.1. The proof is given for positive c (negativep). The changes
necessaryfor negativec are obvious.
Since we have the inequalitiesof Lemma2.2 relatedto (1.7) and since thereare no
correspondinginequalitiesrelatedto (1.6), we shall manipulatefunctionsof random
variablesratherthan distributionfunctions.Let U, U1,U2,. be independentrandom
variables with common distributionfunction exp - e-x. ?Then
?
f(U1),f(U2),.' are
independent with common distribution functionF. Moreover

max(f(Ul), f(U2),..., f(Un)) = f(max(U, U, U,)) f(U + log n).

U2,--,
We shall firstprovethat

supP fx(U+og) lon)?X - O(c(logn)/a(log n))

t a (log n) P{U5x}
x
(2.1) (n- oo).

From Dekkersand de Haan ((1989), remarkafter TheoremA.6) it follows that the

right-handside of (2.1) is of the same orderas q(b,).
Define for n = 1, 2, -- -

(2.2) S•,:= c(log n)/a(log n)

and considerthe supremumover four intervalsseparately.

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
 580 A. A. BALKEMAAND L. DE HAAN

(i) x > - log 6,:

U + log n) - f(log n)
Pff
X> -los6
s a(log n)
-
S1- exp exp(- (- log ,,))+ P + logn)- f(log n) log.6
t a"(logn)

< 2(1 - exp - exp(log

6,.)}
+ p{f(U + log n)-f(logn) - log 4 - 1 + exp - exp(- (- log
c6))
a(log n)

< 2(1 - exp( - 6n)) + O(6n)

by the resultof (ii) below.
(ii) 0 - x - - log cn: FromLemma2.2 we have for U no(e) n
O0,
-
U+
U2 f(U + log n) - f(log n)
On(U)
2 ee" < a(logn)
(2.3)
.= -
< U + 6n ( + e :Tn (U).
Hence
-
P{U ~O,' P 0 f(U + log n) f(log n) <
_ (U)_x)
po - a(log n) J
<P
P{U - log - log F(f(log n)) - log n, On(U) 5 x).
Let us considerthe left-handside:
- log - log F(f(log n)) - log n - P(U
P({U > 0)
= e-' - exp - exp - [ - log - log F(f(log n)) - log n]
= exp( - 1) - exp - exp - (o(q(log n))

by Dekkersand de Haan((1989),analogueof (A.8)),

= o(q(log n));

moreover
sup IP(U_ O, xn(U)5x) - P(0 5 US x)}
-
o0 5x log n

= sup P(O U x} - P{O U < (x)}

0<x < - log .n

= sup exp( - e-x) - exp( - exp(- -

(x)))
0 - x < - log cn

< sup exp - exp( - n(x)) - exp - e-x.

'n'-(0) x - log
- c,

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
A convergence
ratein extreme-
valuetheory 581

Note that T'(x) -* 1 (n -* oc) uniformly for Ix I _ - log 3, hence for sufficiently large n
and Ix[I - log 6, the functionT'"is boundedbetweenI and 2. It followsthatfor those
_5
values of x
(2.4) (C(x) - x) x - -(x)
X 2(C,(x)- x).
:-5
Hence
sup exp - exp( - TY(x)) - exp - e-x = O(S,)

and moreover
sup exp - exp( - TnP(x))- exp - e-x
0 x _ - log &n

- + exp( - On(x))exp - exp( - On(x))

?xsup (2 ee)
0:-5_x<--log&

forsomeOn(x)withx < On,(x) Y(x),

-5
S3, sup -+ee" e -xexp - ex
0:x_-log
ex2
2
sincee-" exp- e-u is decreasing
for u > 0. Thelatterexpressionis 0(5n). Fromthis
boundandan analogous oneinvolvingQ.,it followsthat

sup- P f(U + log n) - f(log n) =00

sup , P -<X -PU x) ).
a(logn)
05xS--log
(iii) - log - log 6, 5 x < 0: Corollary 2.3 implies that for U < 0, U + log n >- to(e)
(the latter condition is eventuallyimplied by U > - log - log Jn since Jn is a slowly
varyingfunction)

Kn(U) := (1- U + ee-u)} fU - / + ee-)l}

6(- (U-

f(U + log n) - f(log n)

(2.5) < a(log n)

- ee- "
<(1 - 6,(- U - ee-6) } U - n( -= ().

Note that for sufficientlylarge n and Ix I< - log - log J, both (Kn)' and (E,)' are
bounded between ? and 1. Hence

(2.6) ?(x - Kn(x))

K- (x) - x = 2(x - Kn(x))
_
and a similar inequality holds for E,. Following the same line of proof as in (ii) we get

sup - x-P{U x} =O(~).

Pf{ a(log n)
-log-log
6.x<

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
582 A. A. BALKEMA
AND L. DE HAAN

(iv) x < - log - log ,,: Similar to the proof of (i).

Finallywe determinethe lowerbound of the convergencerate:

sup ~, {fU + log n) - f(log n) < ]

x
xER a(log n)

sup $ -'[P(U O,T,(U) 5 x} -P{O 5 U x)]

1 x< - log j
_ - _
sup n-'[exp( - e-y) - exp( - exp(- (y)))].
_
Note thatc5- (,(y)
{ - y) = (y2/2 + eely) y2/2 2. It followsthat the supremumis at
_
least _
2 - sup exp(- On(y)).exp - exp(- On(y))

for some O8(y)satisfyingy _ 8O(y)_ •,(y),

S>-2e-4.exp - e-4 > 0.

Remark 1. Note that under our conditions Iq(b,) I is a slowly varying sequence
(cf. (2.1)). Also, given any slowly varyingfunction tending to 0, one can find a dis-
tributionfunctionwith exactlythat rateof convergence.
Remark 2. The classN of Cohen(1982) is essentiallycontainedin the classdefined
by condition(1.7):compare(1.25),p. 836 of Cohen'spaperwith(A.10.2)of Dekkersand
de Haan(1989). Also (1.7) is impliedby the regularvariationconditionof Theorem3.3
in Resnick(1988).

Remark 3. When specializedto the normaldistribution(cf. Dekkersand de Haan

(1987), Section 3, examples),Theorem2.1 gives the main resultof Hall (1979).
Remark 4. One can follow exactlythe same line of prooffor the case consideredin
Smith (1982) i.e. the domainof attractionof a bounded-belowextreme-valuedistribu-
tion. The conditionxa{ 1 - F(x)}E) (this is the casep = 0 in Smith'spaper,whichwe
treat as an example)translatesinto (Dekkersand de Haan (1989), TheoremA.2)

+x)f(t + x) - e- 'f(t)
(.e-)70
(2.7) lim =x
t-Io p(t)

for all x E R, where y = a -'t. This can be written as

f(t + x)
f(t)
(2.8) lim = xe"
:-.o p(t)

where p(t) = p(t)et/ f(t). It follows that p(t) = O.Lemma 2.2 applied to e-" f(t)
limt_.o .
gives the following inequalities. Given E> 0 there exists to such that for t > to, x > 0

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
A convergence
ratein extreme-value
theory 583

f(t + x)
eyX[l + p(t)(x - eel}] << ey"[1 + p(t){x + ee"}]
f(t)
and
p(t + x)
1 - ee < < 1 + eel.
p(t)

Using these inequalitiesand followingthe line of proof of Theorem2.1, one gets

(2.9) sup P(max(X,, , X)/a, x} - exp x- X p(b,) (n -O)
xER
with

(2.10) and p(t) - a.

a,:=f(logn) a2(1 F(t)} -1 (1 F(s)}

The upperboundin (2.9) is given in Smith(1982). Note that in the presentcase Iq(b,) I
is a slowlyvaryingsequence(this is no longertrue in the casep # 0 of Smith'spaper).
Remark 5. This paper has found a sequel in a paper of Beirlantand Willekens
(1990), whose resultsand methodsare differentbut analogous.

by smoothfunctions;inequalities
Appendix:Approximation
Proposition A. 1. Let 0E H(m), i.e. 0 is measurable and

Xm
(t + x) = ao(t) + ai(t)x + + am(t) - + r(x, t)
. m!

wherefor any c e > 0 thereexists tosuch that

- 1,
Ir(x, t)I 5 eI am(t)I for Ixlc,t, t0.
<=
Note that the local uniformityin this relationfollowsautomaticallyfromthe pointwise
inequalityas in Omey and Willekens(1987).
Let y be a Cmfunctionwith compactsupportwhichsatisfies

fxky(x)dx= , k=1,. ., m

= 1, k=O
and define
y(t) (t - s)y(s)ds.

Then

i.e.
- -
q(m)(t + x)/'(m)(t) 1, t oc (uniformly on bounded x-sets).

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
584 A. A. BALKEMA
AND L. DE HAAN

Fork = 0,- -, m

ak(t) - Y•(k)(t)= o(am(t)), t - 00

and in particular

0(t) - I(t) = o(am(t)), t -- 00.

Proof. If p is a polynomial of degree k 5 m, then so is fp = p * . Indeed fik)

p(k) * y is constant.SinceIyk) = *y (k) for k m, we have
-
-
Tpm)(t+ x)= f (t + x s)Y(m)(s)ds

(x -
Jao(t) + (x - s)a(t)+ ...
+ )am(t) m(s)ds

+
f r(x - s, t)(m)(s)ds

=am(t) S)m ym)(s)ds + r(x - s, t)'ym)(s)ds

(since p * y(m) = p(m) * vanishes for any polynomial p(s) of degree < m). The first term
equals (- 1)mam(t)and is independent of x. The second term is o(am(t)) since y has
bounded support, see definition of I(m).This proves PI(m) I(O).
Now writeas above with x = O,k = 0, - , m - 1
-
s)
(k)(t+ 0)= ao(t)+ (0 -s)a(t) + + am(t) y(k)(s)ds

+ r(0 - s,
f t)7yk)(s)ds.
The secondintegralis o(am(t)) and the firstintegralreducesto

ak(t)J 'y(k)(s)ds = ak(t)

vanishesforj < k (p * y(k)= 0 if degreep < k) and

since J(sJ/j!)7yk)(s)ds

(-f(s)J = ( - s)j-k for k.

7y(k)(S)ds j>
(j --k)y(s)ds
For any e > 0 thereexists to= to(e)suchthat for
PropositionA.2. Suppose E TIIm.
t > to,x > 0
I (t + x) - p,(x) | < eex i am(t) I
where
Xm
pt(x) = ao(t) + xae(t) + m + - am(t)

is the polynomial approximation.

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions
A convergencerate in extreme-valuetheory 585

Proof. It sufficesto provethe inequalitywith 6e2'xinsteadof ee" and x >-xoinstead

of x ? 0 since the inequalitywith e instead of ee" holds on bounded intervalsby
definition of H(m).
As in Proposition A.1 define TPECmwith E l(O)and T - 0 = o(am). For t - t1(e)
'm)
+ x)
wIm)(t
P(m)(t+X)<e forx x0.
T"m)(t)
Taylor expansion with Pt(x) = T(t) + xTY'(t)+ ..
+ (xm/m!)lJ(m)(t) gives
?
P(t+ x) - = L
W(x) (M(m)(t
+ ux) - q(m)(t)}nm(u)du

where 7rmis the probability density 7m(u)=m(1 -u)m- on [0, 1]. Hence for
tt lt, x xo
(t + x)- (x)- (e - 1)m(u)du. m)(t)

Xm
< 1) Tcm)(t)
I
m! (eux-
a
-.
< e2 I (m)(t)I
Now observe
- t -- 0o,
'm)(t) am(t),
Pt(x)- ft(x) is a polynomialof degree m in x with coefficientswhich are o(am(t)),
t -* c , and
IO(t+ x) - Y(t + x) I e I '(m)(t+ x)I e 1m)(t) Iex _

for t > t2,x - 0.

Remark. For the smoothfunctionsY we have the strongerinequality:For t > tj(e),

IY(t + x)- pt(x) I:e1x I mex Im)(t) .

References
BEIRLANT, J. AND WILLEKENS, E. (1990) Rapid variationand ratesof convergence.Adv.Appl. Prob.
22(4).
COHEN, J. P. (1982) Convergenceratesfor the ultimateand penultimateapproximationin extreme-
value theory.Adv.Appl. Prob. 14, 833-854.
DEKKERS,A. L. AND DE HAAN, L. (1989) On the estimation of the extreme-value index and laige
quantile estimation.Ann. Statist. 17, 1795-1832.
HALL, P. (1979) On the rate of convergenceof normalextremes.J. Appl. Prob. 16, 433-439.
OMEY, E. AND WILLEKENS, E. (1987) H-variationwith remainder.J. London Math. Soc. 37(2),
105-118.
RESNICK, S. I. (1988) Uniform ratesof convergenceto extreme-valuedistributions.In Probabilityin
Statistics;Essays in honorof FranklinA. Graybill,ed. J. Srivastava,North-Holland,Amsterdam.
SMITH, R. L. (1982) Uniform rates of convergencein extreme-valuetheory.Adv.Appl. Prob. 14,
600-6.22.

This content downloaded from 132.174.255.3 on Mon, 19 Oct 2015 10:24:44 UTC
All use subject to JSTOR Terms and Conditions