 Exponential endpoint limit of a uniform maximum

For independent and identically distributed random variables $U_i$ with the continuous uniform distribution on $[0,1]$, let $M_n={\max }_{1\le i\le n}{U}_i$. Its cumulative distribution function is $x^n$ on $[0,1]$, so $M_n\stackrel{\mathrm{d}}{\to }1$. The endpoint error has a nonconstant limiting probability distribution: for fixed $z\ge 0$ and $n\ge z$,This survival function gives the displayed exponential distribution limit. More generally, for observations uniform on $[a,b]$, $n(b-M_n)/(b-a)$ has the same limit. The scaling identifies an error of order $1/n$, in contrast to the $1/\sqrt{n}$ fluctuations of a typical sample mean with nonzero finite variance.