Extremal types theorem

ID: extremal-types-theorem

Every non-degenerate limit in convergence in distribution of positively scaled and centered sample maxima is a max-stable distribution. Up to positive affine transformations its law is the Gumbel distribution, a Fréchet distribution with positive shape parameter, or a negative Weibull distribution with positive shape parameter. This classifies possible limits, without asserting that every distribution function admits a limiting normalization.

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