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Gumbel convergence of the maximum of convoluted half-normally distributed random variables
[article]

2021
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arXiv
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pre-print

In this note, we establish the convergence in distribution of the maxima of i.i.d. random variables to the Gumbel distribution with the associated normalizing sequences for several examples that are related to the normal distribution. Motivated by tests for jumps in high-frequency data, our main interest is in the half-normal distribution and the sum or difference of two independent half-normally distributed random variables. Since the half-normal distribution is neither stable nor symmetric,

arXiv:2103.14525v1
fatcat:apm7f7iynndo5n32bean4imtgy