Exceedance count limit for extreme order statistics

ID: exceedance-count-limit-for-extreme-order-statistics

For independent and identically distributed random variables, suppose normalized sample maxima have limiting distribution function . At a threshold with , the exceedance count has limiting Poisson distribution with parameter . The th largest observation lies below the threshold exactly when at most observations strictly exceed it, including in samples with ties. Summing the first limiting Poisson probabilities gives the displayed limit for every fixed positive integer . The equivalence follows from and as .

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