extreme value theory
- Hi there !!
The well known extreme value distributions (evd) are the Frechet, the
Weibull and the Gumbel distribution.
I have following questions:
When I have two independent random variables that are in the domain
of attraction of such an evd, what can I say about the sum of these
random variables ? Is the sum also in the domain of attraction of an
evd ? What assumptions do I need to conclude this ?
When you have any hints on that or if you know any literature, please
Have a good day !!