Stability postulate explained

In probability theory, to obtain a nondegenerate limiting distribution of the extreme value distribution, it is necessary to "reduce" the actual greatest value by applying a linear transformation with coefficients that depend on the sample size.

If

X _{1,} X _{2,} ... , X _{n} are independent random variables with common probability density functionp _{X _{j}} (x) = f(x),

then the cumulative distribution function of

X' _{n=max\{X} _{1,\ldots,X} _{n\}} isF _{X' _{n}} = {[F(x)]} ^{n}

If there is a limiting distribution of interest, the stability postulate states that the limiting distribution is some sequence of transformed "reduced" values, such as

(a _{n} X' _{n} + b _{n)} , where a _{n,} b _{n} may depend on n but not on x.

To distinguish the limiting cumulative distribution function from the "reduced" greatest value from F(x), we will denote it by G(x). It follows that G(x) must satisfy the functional equation

{[G(x)]} ^{n} = G{(a _{n} x + b _{n)}}

This equation was obtained by Maurice René Fréchet and also by Ronald Fisher.

Boris Vladimirovich Gnedenko has shown there are no other distributions satisfying the stability postulate other than the following:^[1]

• Gumbel distribution for the minimum stability postulate
  • If

X _{i=rm{Gumbel}(\mu,\beta)} and Y =min \{X _{1,\ldots,X} _{n\}} then Y \sim a _{n} X + b _{n} where a _{n=1} and b _{n=} \beta log (n)

• • In other words,

Y \sim rm{Gumbel}(\mu - \beta log (n),\beta)

• Extreme value distribution for the maximum stability postulate
  • If

X _{i=rm{EV}(\mu,\sigma)} and Y =max \{X _{1,\ldots,X} _{n\}} then Y \sim a _{n} X + b _{n} where a _{n=1} and b _{n=} \sigma log (\tfrac{ 1 }{n})

• • In other words,

Y \sim rm{EV}(\mu - \sigma log (\tfrac{ 1 }{n}),\sigma)

• Fréchet distribution for the maximum stability postulate
  • If

X _{i=rm{Frechet}(\alpha,s,m)} and Y =max \{X _{1,\ldots,X} _{n\}} then Y \sim a _{n} X + b _{n} where a ^{- \tfrac{ 1} _{n = n} {\alpha}} and b _{n=} m \left( 1- n ^{-\tfrac{1} {\alpha}}\right)

• • In other words,

Y \sim rm{Frechet}(\alpha,n ^{\tfrac{1} {\alpha}} s,m)

Notes and References

1. Gnedenko . B. . Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire . Annals of Mathematics . 1943 . 44 . 3 . 423–453 . 10.2307/1968974.