Past exam of the mathematics course of the University of Cambridge / 2008 / iii / Paper 42 / 2 / ii

The Gumbel distribution for maxima has distribution function $G(x)=\exp (-e^{-x})$ on the whole real line. For $n\ge 2$ setBoth the centering and scale are elementary, and the scale is positive. For any fixed real $x$, the normalized threshold ${\beta }_n+{\alpha }_{n}x$ is positive for all sufficiently large $n$. Writing $L=\log n$, a Taylor expansion givesConsequently,The logarithm calculation in part (i) now givesThus $F$ belongs to the maximum domain of attraction of the standard Gumbel distribution. The scale also has the Gumbel auxiliary function interpretation: the reciprocal hazard function is $2\sqrt{t}$, whose derivative $1/\sqrt{t}$ tends to zero at the infinite right endpoint. This agrees with the Von Mises conditions for extreme values, and at $t={\beta }_n$ gives exactly ${\alpha }_n=2\log n$.