Accurately approximating extreme value statistics. (13th July 2021)

• Record Type: Journal Article
• Authors: Zarfaty, Lior; Barkai, Eli; Kessler, David A
• Is Part Of: Journal of physics. Volume 54:Number 31(2021)
• Publication Date: 2021-07-13
• Subjects: extreme value theory -- large deviations theory -- limiting distribution -- slow convergence -- Lambert scaling; Mathematical physics -- Periodicals; Statistical physics -- Periodicals; Quantum theory -- Periodicals; Matter -- Properties -- Periodicals; 530.105
• DOI: 10.1088/1751-8121/abf767
• Languages: English
• ISSNs: 1751-8113

Abstract

Abstract: We consider the extreme value statistics of N independent and identically distributed random variables, which is a classic problem in probability theory. When N → ∞, fluctuations around the maximum of the variables are described by the Fisher–Tippett–Gnedenko theorem, which states that the distribution of maxima converges to one out of three limiting forms. Among these is the Gumbel distribution, for which the convergence rate with N is of a logarithmic nature. Here, we present a theory that allows one to use the Gumbel limit to accurately approximate the exact extreme value distribution. We do so by representing the scale and width parameters as power series, and by a transformation of the underlying distribution. We consider functional corrections to the Gumbel limit as well, showing they are obtainable via Taylor expansion. Our method also improves the description of large deviations from the mean extreme value. Additionally, it helps to characterize the extreme value statistics when the underlying distribution is unknown, for example when fitting experimental data.