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Extreme values are the largest or the smallest observations in a sample; e.g., the sample minimum (the first order statistic) and the sample maximum (the n-th order statistic). Associated with extreme values are asymptotic *extreme value distributions.*

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How can I measure Monte Carlo convergence in distribution with heavy tails?

I'm performing a Monte Carlo study on a simple agent based simulation, and I'm trying to formulate a heuristic for the number of MC samples to use. I'm able to measure convergence of statistics like m …
Andrew Fillmore's user avatar