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Jan 25, 2020 at 22:02 comment added gui11aume @Masacroso, the figure is made with standard R. Every feature is added manually. The background is created with rect, the white lines with abline, the legend with legend and the gradient with colorRampPalette. The style was chosen to match my blog. You can see the code to produce relatively similar figures at this post. Click on the Penrose triangle to display the code.
Jan 25, 2020 at 11:33 comment added user154684 sorry by this off-topic question but, can I know what program you used to plot the image of your answer? I dont recognize the style, probably matlab, or maybe some library of R?
Feb 22, 2018 at 23:16 comment added gui11aume @AmirSagiv This is a very good post. For some reason, I misunderstood your question and thought you were interested in the asymptotic distribution of $Z_k^2$ (even though your comment was very clear), so my comment above is not so relevant.
Feb 21, 2018 at 20:50 comment added Amir Sagiv $gui11aume Look here : mathoverflow.net/a/293381/42864
Feb 21, 2018 at 14:30 comment added gui11aume @AmirSagiv this is a good question. I had a quick look at the references and I could not find it. I could also not adapt the proof above. This made me realize that I don't know what the distribution of a square of a Gumbel is. Perhaps a good place to start?
Feb 19, 2018 at 21:52 comment added Amir Sagiv Brilliant. By the way, is there a known asymptotics to $E(Z_k ^2)$?
Sep 6, 2015 at 22:05 history edited gui11aume CC BY-SA 3.0
Corrected a minor mistake and clarified an undetermined formula.
Aug 26, 2015 at 22:13 history edited gui11aume CC BY-SA 3.0
added 29 characters in body
Jul 28, 2015 at 15:51 vote accept gui11aume
Jul 28, 2015 at 10:28 history bounty ended Glen_b
Jul 27, 2015 at 13:23 history edited gui11aume CC BY-SA 3.0
Added the part with harmonic numbers.
Jul 27, 2015 at 10:10 history edited gui11aume CC BY-SA 3.0
Corrected typos.
Jul 27, 2015 at 10:02 history edited gui11aume CC BY-SA 3.0
added 21 characters in body
Jul 27, 2015 at 9:31 history edited gui11aume CC BY-SA 3.0
Added links to the references.
Jul 27, 2015 at 8:02 vote accept gui11aume
Jul 27, 2015 at 8:04
Jul 26, 2015 at 21:31 history edited gui11aume CC BY-SA 3.0
Added the graph.
Jul 26, 2015 at 20:02 history edited gui11aume CC BY-SA 3.0
Replaced by simpler proofs. Added proof of asymptotic distribution.
Jul 26, 2015 at 14:47 history edited gui11aume CC BY-SA 3.0
Added simplified proof.
Jul 25, 2015 at 17:21 history edited gui11aume CC BY-SA 3.0
Added the section about expectation
Jul 25, 2015 at 14:35 history answered gui11aume CC BY-SA 3.0