Expansions for Quantiles and Multivariate Moments of Extremes for Distributions of Pareto Type

Abstract

Let $X_{nr}$ be the $r$th largest of a random sample of size $n$ from a distribution $F (x) = 1 - \sum_{i = 0}^\infty c_i x^{-\alpha - i \beta}$ for $\alpha > 0$ and $\beta > 0$. An inversion theorem is proved and used to derive an expansion for the quantile $F^{-1} (u)$ and powers of it. From this an expansion in powers of $(n^{-1}, n^{-\beta/\alpha})$ is given for the multivariate moments of the extremes $\{X_{n, n - s_i}, 1 \leq i \leq k \}/n^{1/\alpha}$ for fixed ${\bf s} = (s_1, ..., s_k)$, where $k \geq 1$. Examples include the Cauchy, Student $t$, $F$, second extreme distributions and stable laws of index $\alpha < 1$.