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Let Y n denote the largest of n independent N (0, 1) variables. It is shown that if the constants a n and b n are chosen in an optimal way then the rate of convergence of ( Y n – b n )/ a n to the extreme value distribution exp(– e –x ), as measured by the supremum metric or the Lévy metric, is proportional to 1/log n.
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Peter Hall (1979) studied this question.
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