Extreme Value Distribution |
(continuous probab. dist. for equations) |
Usage: |
ExtremeValueDist (x, α, β) |
Definition: |
exp (-exp (-(x-α)/β) - (x-α)/β) / β |
Parameters: |
α = location β = scale |
Required: |
β > 0 |
Moments: |
μ = α + γ β (γ = Eulers = 0.5772156649) σ = πβ / sqrt(6) γ1 = 1.3 β2 = 5.4 |
This distribution is the limiting distribution for the smallest or largest values in large samples drawn from a variety of distributions, including the normal distribution.
Also known as the "Fisher-Tippet distribution", "Fisher-Tippet Type I distribution" or the "log-Weibull distribution".
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