Abstract
Abstract
We show how convergence to the Gumbel distribution in an extreme value setting can be understood in an information-theoretic sense. We introduce a new type of score function which behaves well under the maximum operation, and which implies simple expressions for entropy and relative entropy. We show that, assuming certain properties of the von Mises representation, convergence to the Gumbel distribution can be proved in the strong sense of relative entropy.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
1 articles.
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