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2017年4月3日星期一

Gumbel distribution

A very short note for the Gumbel distribution.

Xi i.i.d and have distribution of Exp(1), then max1inXilogn(d)G
where G represents a Gumbel distribution.

The proof is easy. We just calculate the distribution of this random variable
P[max1inXilogn<y]=P[max1inXi<y+logn]=(1e(logn+y))neey
So we conclude the convergence in distribution.

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