Biggest of bunch: Gumbel

Flooding caused by Hurricane Wilma in the Florida Keys

(Marc Averette, public domain, from wikipedia.)

In a world with many random events, one is often not interested in the average behavior or the sum of the behaviors, but rather in extreme value statistics: the largest or smallest of a series of random variables. Engineers planning dike systems are interested in the highest flood likely in the next hundred years; insurance companies are interested in the largest fire or hurricane. The probability distribution of the largest of many independent random variables takes a few characteristic, universal forms. Here we explore the Gumbel distribution.

Gumbel distribution exercise.
Mathematica:
- Hints file
- Answers file
Python:
Brief notes on universality in random matrix theory and extreme value statistics (also ppt).

Biggest of bunch: Gumbel

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