Nicolas Privault

Convergence rates for the extreme value theorem via Stein's method

We derive convergence rates for the approximation of the Fr\'echet distribution $\mathcal{F}(\alpha)$ with parameter $\alpha>0$ by sequences of renormalized maxima in the extreme value theorem. Our proofs rely on the application of the infinitesimal generator approach to Stein's method to max-stable distributions, usin...