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I cannot find the way to show that

if $X_1,\dots,X_n$ are independent standard normal random variables, then

$$ \lim_{n \rightarrow \infty} \frac {\mathbb{E} \max_{i=1,\dots,n}X_i}{\sqrt{2\log n}} = 1 $$

I could only show that $\mathbb{E} \max_{i=1,\dots,n}X_i \leq \sqrt{2 \log n}$

someeed
  • 471

1 Answers1

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See the solved exercise 18.7 (pages 332 and 358) in https://homes.cs.washington.edu/~karlin/GameTheoryBook.pdf

Yuval Peres
  • 21,955