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Extremes of independent exponential variables
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Probability and statistics
Probability theory
Borel-Cantelli lemmas
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For independent rate-one exponential variables
X
n
and
M
n
=
max
m
≤
n
X
m
,
lim
sup
n
→
∞
l
o
g
n
X
n
=
1
,
lim
inf
n
→
∞
l
o
g
n
M
n
≥
1
(29)
almost surely. The first follows by applying both Borel--Cantelli lemmas to thresholds
(
1
±
ε
)
lo
g
n
; the second uses
P
(
M
n
≤
(
1
−
ε
)
lo
g
n
)
≤
e
−
n
ε
.
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Borel-Cantelli lemmas
Probability theory
Probability and statistics
Area of mathematics
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