Extreme Value Distribution

 

Suppose that  are the measured set from the n trials of a material strength test. The test results are listed with ascending order. Then, assume that these measuring are repeated  times such as , ,…, . From the measured data set, if probable distribution functions and are made from the minimum value set  and the maximum value set , these PDFs are referred to as Extreme Value Distributions for the minimum value and the maximum value of , respectively.

If the random variables  are independent and follow a common distribution , the shape of the distribution function of the extreme value  and  becomes increasingly insensitive to the exact shape of the common distribution function , as . These asymptotic distributions often describe the behavior of the random variable  and  reasonably well even when the exact shape of the parent distribution function  is not known precisely. These asymptotic distribution forms are classified into three types based on the general features of the tail part of the distributions.