Approximation by Penultimate Extreme Value Distributions
n certain cases the distribution of the normalized maximum of a sample can be better approximated by a sequence of different extreme value distributions than by the final one. We show that these cases are rather restricted and that the possible improvement is not spectacular.
de Haan, L.F.M.. (1998). Approximation by Penultimate Extreme Value Distributions (No. TI 98-035/4). Retrieved from http://hdl.handle.net/1765/7760