Hey guys,
I'm a bit of a statistics weakling so I could use some help on a problem I'm trying to solve. Basically I got N random gamma variables all with the same alpha and theta and I want to find the pdf of the maximum value of these N samples. Now, after a bit of research, I know this is basically an extreme value theory problem:
http://en.wikipedia.org/wiki/Extreme_value_theory
From the wiki I know the maximum pdf can take one of three forms. However what I would like to know is since I know I am assuming gamma variables, can I tell which of these 3 equations the max pdf assumes and if so can I derive the parameters of this pdf as a function of alpha, theta, and N.
Any help/advice is greatly appreciated.
Thanks
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