[R] probability density function for maximum values in repeated finite samples from a normal distribution??

Joerg van den Hoff j.van_den_hoff at fzd.de
Mon Sep 28 14:15:39 CEST 2009


this is probably not really a R specific question, if so apologies for
off-topic posting:

I'm interested in the probability density function of the maximum values
from repeated samples of size N from a normal distribution:

smp <- rnorm(N, meanval, stdev)

with some mean 'meanval' and standard deviation 'stdev'.

I would like to know what is the frequency distribution of max(smp) if I draw many such
samples?

if I investigate this simply via a simulation, I get of course approximate
results (and see that the resulting distribution is not quite normal
anymore, that the mean increases with increasing N, etc.).

my question: does somebody know whether there exists an analytical
expression for the distribution of max(smp) (or where to look)?

thanks,

joerg




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