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Suppose two distributions F and G that have the same extreme point ($x^F = x^G$) and

$$\lim_{x \to x^F}\frac{\bar{F}(x)}{\bar{G}(x)} = c \in (0, \infty)$$

Show that F and G belongs to the same domain of attraction of a GEV$(0,1,\xi)$(Generalized extreme value). Also, provide a link between the normalization constants.

The definition I learned is that if F belongs to the domain of attraction of GEV(0,1,$\xi$) we will have $$h(x) = \frac{1-F(x)}{f(x)} \quad h'(x) \rightarrow \xi \text{ as } x \rightarrow x^F$$

I am pretty lost on how to prove it and any help would be appreciated.

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  • $\begingroup$ Hint: The distribution $F$ is in the domain of attraction of the extreme-value distribution $H$ with norming constants $c_n >0$ and $d_n$ iif $\lim _{n \to \infty} \, n \bar{F}(c_n x + d_n) = -\log H(x)$ for all $x \in \mathbb{R}$. See Prop 3.3.2 in Embrechts et al. The condition stated at the end of the question is doubtful for me. $\endgroup$
    – Yves
    Commented May 23, 2022 at 13:26

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