A note on convergence of densities to free extreme value distributions

2024/05/15 by Yamato Kindaichi, Yuki Ueda, Kindaichi, Yamato +1
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #46L54 #60B10 #62G32 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models

paper · pdf · doi:10.48550/arxiv.2405.09156

openalex publication_date 2024/05/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The concept of free extreme value distributions as universal limit laws for the spectral maximum of free noncommutative real random variables was discovered by Ben Arous and Voiculescu in 2006. This paper contributes to study the convergence of densities towards free extreme value distributions under the von Mises condition for sample distributions.

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