Modeling extremal events is not easy: Why the extreme value theorem cannot be as general as the central limit theorem

• Main Authors: Kreinovich V., Nguyen H., Sriboonchitta S., Kosheleva O.
• Format: Book Series
• Published: 2017
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012094087&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/41092
• Institution: Chiang Mai University

© Springer International Publishing AG 2017. In many real-life situations, a random quantity is a joint result of several independent factors, i.e., a sum of many independent random variables. The description of such sums is facilitated by the Central Limit Theorem, according to which, under reasonable conditions, the distribution of such a sum tends to normal. In several other situations, a random quantity is a maximum of several independent random variables. For such situations, there is also a limit theorem—the Extreme Value Theorem. However, the Extreme Value Theorem is only valid under the assumption that all the components are identically distributed—while no such assumption is needed for the Central Limit Theorem. Since in practice, the component distributions may be different, a natural question is: can we generalize the Extreme Value Theorem to a similar general case of possible different component distributions? In this paper, we use simple symmetries to prove that such a generalization is not possible. In other words, the task of modeling extremal events is provably more difficult than the task of modeling of joint effects of many factors.