Large deviations of the maximum of independent and identically distributed random variables

DOI10.1088/0143-0807/36/5/055037MaRDI QIDQ2793742zbMATH OpenOpenAlexFDO

Authors P. Vivo

Publication date 17 March 2016

Published in European Journal of Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.05442

zbMATH Keywords

extreme valuelarge deviationsmaximum i.i.d.

Mathematics Subject Classification ID

Large deviations (60F10)

Abstract: A pedagogical account of some aspects of Extreme Value Statistics (EVS) is presented from the somewhat non-standard viewpoint of Large Deviation Theory. We address the following problem: given a set of $N$ i.i.d. random variables $X_1,ldots,X_N$ drawn from a parent probability density function (pdf) $p(x)$, what is the probability that the maximum value of the set $X_{mathrmmax}=ma{x}_i{X}_i$ is "atypically larger" than expected? The cases of exponential and Gaussian distributed variables are worked out in detail, and the right rate function for a general pdf in the Gumbel basin of attraction is derived. The Gaussian case convincingly demonstrates that the full rate function cannot be determined from the knowledge of the limiting distribution (Gumbel) alone, thus implying that it indeed carries additional information. Given the simplicity and richness of the result and its derivation, its absence from textbooks, tutorials and lecture notes on EVS for physicists appears inexplicable.

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Cites work

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(14)

• Large deviations for the maxima of some random fields
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• Complex (super)-matrix models with external sources and q-ensembles of Chern–Simons and ABJ(M) type
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• A smooth transition towards a Tracy–Widom distribution for the largest eigenvalue of interacting k-body fermionic embedded Gaussian ensembles
• Eigenvalue spectral tails and localisation properties of asymmetric networks
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