On the norming constants for normal maxima
Probability
2013-08-27 v1
Abstract
In a remarkable paper, Peter Hall [{\it On the rate of convergence of normal extremes}, J. App. Prob, {\bf 16} (1979) 433--439] proved that the supremum norm distance between the distribution function of the normalized maximum of independent standard normal random variables and the distribution function of the Gumbel law is bounded by . In the present paper we prove that choosing a different set of norming constants that bound can be reduced to . As a consequence, using the asymptotic expansion of a Lambert type function, we propose new explicit constants for the maxima of normal random variables.
Keywords
Cite
@article{arxiv.1308.5541,
title = {On the norming constants for normal maxima},
author = {Armengol Gasull and Maria Jolis and Frederic Utzet},
journal= {arXiv preprint arXiv:1308.5541},
year = {2013}
}