Flooding caused by Hurricane Wilma in the Florida Keys

(Marc Averette, public domain, from wikipedia.)

In a world with many random events, one is often not interested in the average behavior or the sum of the behaviors, but rather in extreme value statistics: the largest or smallest of a series of random variables. Engineers planning dike systems are interested in the highest flood likely in the next hundred years; insurance companies are interested in the largest fire or hurricane. The probability distribution of the largest of many independent random variables takes a few characteristic, universal forms. Here we explore the Gumbel distribution.

Read directions and background in

• Gumbel distribution exercise.
• Brief notes on universality in random matrix theory and extreme value statistics (also ppt).

All necessary files are linked at the left.