$\max(X_1, X_2, ... X_n)$ mean value

399 Views Asked by At

Suppose $X_1, X_2 ...X_n$ are non-correlated and Gaussian random variables, all with mean value $\mu=0$ and variance=$\sigma$.

Is there an expression for the distribution of $Z=\max(X_1, X_2, ... X_n)$? If not, can we find its expected value $\textrm{mean(Z)}$ and $\textrm{variance(Z)}$?

Thanks a lot!