Abstract
Let Yn denote the largest of n independent N(0, 1) variables. It is shown that if the constants an and bn are chosen in an optimal way then the rate of convergence of (Yn – bn)/an to the extreme value distribution exp(–e–x), as measured by the supremum metric or the Lévy metric, is proportional to 1/log n.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
162 articles.
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