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Max-stable distribution (F(an​x+bn​)n=F(x))

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Probability theory Extreme value theory
2026-10-06  0 By others on same topic  0 Discussions Create my own version
A non-degenerate distribution function is max-stable when every sample maximum of n independent and identically distributed random variables can be positively scaled and centered to have the original law. Thus for every integer n≥1 there are an​>0,bn​∈R with F(an​x+bn​)n=F(x). The extremal types theorem classifies these laws, up to affine changes, as the Gumbel distribution, Fréchet distribution, and negative Weibull distribution.

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