Fréchet limit for a reciprocal integer tail

ID: frechet-limit-for-a-reciprocal-integer-tail

Let be independent and identically distributed random variables taking positive integer values with , and put . For , independence gives
Indeed and as . For the probability is zero. The limiting cumulative distribution function is continuous, including at zero, and is a Fréchet distribution with shape one. Its scale grows linearly with sample size even though the individual random variables have infinite expectation.

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