Demonstration for Expectation of the maximum of random variables

Asked Mar 06 '19 at 13:09

Active Mar 06 '19 at 13:09

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Hi fellow mathematicians,

I just a need a reference or a text book where I can find the demonstration for the expressions of $\mu_n$ and $\sigma_n$ in the attached figure. This is from an answer by Sasha on Expectation of the maximum of gaussian random variables

Thanks.

expectation and sigma for max statistics

asked Mar 06 '19 at 13:09

Thierry Jethro Appourchaux

You might want to consider whether you can find what you want in Gumbel, E.J. (1954). Statistical theory of extreme values and some practical applications. Applied Mathematics Series. 33 – Henry Mar 06 '19 at 13:41
Great you made may day. The Gumbel derivation for $\sigma_n$ is even simpler. Thanks a lot Henry! – Thierry Jethro Appourchaux Mar 07 '19 at 08:41

Demonstration for Expectation of the maximum of random variables

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