Extreme value distributions: the “max-stable distribution” approach
Extreme value distributions: the “max-stable distribution” approach
- Event time: 11:30am until 12:30pm
- Event date: 27th November 2019
- Speaker: Professor Richard Blythe (School of Physics & Astronomy, University of Edinburgh)
- Location: Room 2511, James Clerk Maxwell Building (JCMB) James Clerk Maxwell Building Peter Guthrie Tait Road Edinburgh EH9 3FD GB
Event details
The maximum of some large set of independent, identically-distributed random variables is known to approach one of three distributions (Fréchet, Gumbel or Weibull). In this talk, I will show that these are, in fact, special cases of a common distribution, a fact that can be established from a self-similarity property known in the trade as “max stability”. Time permitting, I will also write down a recipe for determining the large-N limiting forms, since this is likely to be most useful in applications.
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