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arXiv · 1402.4316

Rates of convergence for Renyi entropy in extreme value theory

Ali Saeb
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Abstract

Max stable laws are limit laws of linearly normalized partial maxima of independent identically distributed random variables. Saeb (2014) proves that the Renyi entropy of order b (b > 1) of linear normalized maximum of iid random variables with continuous differentiable density is convergent to the Renyi entropy of order b of the max stable laws. In this paper, we study the rate of convergence result for Renyi entropy for linearly normalized partial maxima.

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Ali Saeb. 2014-02-18. Rates of convergence for Renyi entropy in extreme value theory. https://doi.org/10.1090/tpms/1191

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