Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2008/iii/paper-42/2/i/solution

For large , write the survival function as
A positive function is slowly varying if for every fixed . Here
since and . Thus has regular variation of index .
The relevant extreme-value criterion is that an infinite right endpoint and a survival function regularly varying with index , , give attraction to the standard Fréchet distribution of shape . Its distribution function is for and zero for . Here is a direct verification, so no additional theorem is needed to establish the criterion in this example. Choose satisfying and set . For ,
If and , then . Applying this with gives . For , the distribution function is zero because the observations are supported on . Therefore
For example, elementary asymptotic normalizers are
for sufficiently large , with arbitrary positive definitions at smaller indices. Indeed and , so . The precise valid choice of at the lower endpoint does not change the limiting shape.

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