Fisher-Tippett-Gnedenko theorem

English

Proper noun

the Fisher-Tippett-Gnedenko theorem

  1. (statistics) A general result in extreme value theory regarding asymptotic distribution of extreme order statistics. The maximum of a sample of iid random variables after proper renormalization can only converge in distribution to one of three possible distribution families: the Gumbel distribution, the Fréchet distribution, or the Weibull distribution.
    Synonyms: extreme value theorem, Fisher-Tippett theorem
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