Extreme value theory (EVT), a
branch of mathematics developed by
Fisher, Tippett, Gumbel and others
during the 20th century, proves
that the limiting distribution Fn of
the maximum of n i.i.d. random
variables, when n tends to infinity,
has one of three possible functional
forms depending on the tail of the
parent distribution. For the chi-square
distribution and other distributions
with an exponentially decreasing
tail, the limiting distribution has
the double exponential form |