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Fréchet limit for a reciprocal integer tail (P(Mn​/n≤x)⟶e−1/x,x>0)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Extreme value theory Fréchet distribution
2026-10-31  0 By others on same topic  0 Discussions Create my own version
Let Xi​ be independent and identically distributed random variables taking positive integer values with P(Xi​≤k)=k/(k+1), and put Mn​=maxi≤n​Xi​. For x>0, independence gives
P(Mn​/n≤x)=(1−⌊nx⌋+11​)n⟶e−1/x.
(1)
Indeed n/(⌊nx⌋+1)→1/x and log(1−u)/u→−1 as u↓0. For x≤0 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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  • Past exam of the probability course of the University of Oxford / 2014 / 1 / b / ii / Solution

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