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Tagged with extreme-value normal-distribution
58 questions
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Distribution of Extreme Spread for n, sigma
Simple form provided by WHuber: What is the distribution of the diameter of n points in the plane drawn iid from a bivariate Normal distribution? (Diameter is the greatest distance among any pair of ...
- 1,176
5
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1
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Asymptotic probability concerning the largest absolute value in an iid Gaussian sample
Let $v[n]$ be a vector $N$ $iid$ gaussian samples, of ~$N(0,\sigma^2)$ Also, let $v_{max}$ denote the maximum absolute value of all the samples given. (That is, if I took the absolute value of all the ...
- 1,805
5
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1
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What is the maximum value in a finite selection of a normally distributed variable?
A parameter of an object is normally distributed with a mean m and a std. dev. s. If r such ...
- 153
12
votes
2
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Expected value of spurious correlation
We draw $N$ samples, each of size $n$, independently from a Normal $(\mu,\sigma^2)$ distribution.
From the $N$ samples we then choose the 2 samples which have the highest (absolute) Pearson ...
- 2,020
3
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2
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Is my data fit "extreme value distribution" or "normal distribution"?
I have a large data.frame in R. I would like to double if its distribution fit normal distribution or extreme value distribution better
Here is my simplified data.frame.
...
- 31
5
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2
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Calculating the distribution of maximal value of $n$ draws from a normal distribution [duplicate]
According to normal probability distribution theory which says that for $n$ independent,
identically distributed, standard, normal, random variables $\xi_j$ the expected absolute maximum is
$E(\max|\...
- 505
7
votes
3
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How do extreme values scale with sample size?
Assume I have a random vector $X = \{x_1, x_2, ..., x_N\}$, composed of i.i.d. binomially distributed values. If it would simplify the problem substantially, we can approximate them as normally ...
- 8,879
5
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Is there an analytical expression for the distribution of the max of a normal k sample?
For example:
k <- 100
R <- 10000
max.g <- numeric(R)
for(i in 1:R) max.g [i] <- max(rnorm(k))
hist(max.g) # We can see it's right tailed...
I ...
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