The strong approximation of extremal processes

Summary If X ₁, X ₂, ..., are i.i.d. random variables and Y _n =Max(X ₁, ..., X _n ); if for some sequences A _n , B_n, n=1, 2, ..., E _n (t)=A_nY_nt]+B_n is such that E _n (1) weakly converges to a non degenerate limit distribution, then we prove that it is possible to construct a sequence of replicates of extremal processes E ⁽ⁿ⁾(t) on the same probability space, such that d(E _n (.), E ⁽ⁿ⁾(.))0 a.s., with the Levy metric. We give the rates of consistency of the approximations.