Rates of convergence towards the Fréchet distribution

Abstract

We develop Stein's method for the Fréchet distribution and apply it to compute rates of convergence in distribution of renormalized sample maxima to the Fréchet distribution.

References in corpus (1)

• Stein method for invariant measures of diffusions via Malliavin calculus

Cited by in corpus (1)

• Information-theoretic convergence of extreme values to the Gumbel distribution