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Last updated: Mon Jan 1 2018
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http://mathworld.wolfram.com/GumbelDistribution.html
Gumbel Distribution -- from Wolfram MathWorld
Probability and Statistics > Statistical Distributions > Continuous Distributions >
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THINGS TO TRY:
gumbel distribution
Gumbel Distribution
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exp fit
There are essentially three types of Fisher-Tippett extreme value distributions. The most common is the type I
distribution, which are sometimes referred to as Gumbel types or just Gumbel distributions. These are distributions of
an extreme order statistic for a distribution of elements . In this work, the term "Gumbel distribution" is used to
refer to the distribution corresponding to a minimum extreme value distribution (i.e., the distribution of the minimum
). Sample versus
Theoretical
The Gumbel distribution with location parameter and scale parameter is implemented in the Wolfram Language as Distribution
Joe Bolte
GumbelDistribution[alpha, beta].
It has probability density function and distribution function
(1)
(2)
The mean, variance, skewness, and kurtosis excess are
(3)
(4)
(5)
(6)
where is the Euler-Mascheroni constant and is Apéry's constant.
The distribution of taken from a continuous uniform distribution over the unit interval has probability function
(7)
and distribution function
(8)
The th raw moment is given by
(9)
The first few central moments are
(10)
(11)
(12)
The mean, variance, skewness, and kurtosis excess are therefore given by
(13)
(14)
(15)
(16)
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1/1/2018 Gumbel Distribution -- from Wolfram MathWorld
If are instead taken from a standard normal distribution, then the corresponding cumulative distribution is

(17)

(18)

where is the normal distribution function. The probability distribution of is then

(19)

(20)

The mean and variance are expressible in closed form for small ,

(21)

(22)

(23)

(24)

(25)

and

(26)

(27)

(28)

(29)

(30)

No exact expression is known for or , but there is an equation connecting them

(31)

SEE ALSO:
Extreme Value Distribution, Inverse Gumbel Distribution

REFERENCES:
Gumbel, E. J. "Multivariate Extremal Distributions." Bull. Inst. Internat. de Statistique 37, 471-475, 1960a.
Gumbel, E. J. "Distributions del valeurs extremes en plusieurs dimensions." Publ. l'Inst. de Statistique, Paris 9, 171-173, 1960b.
Gumbel, E. J. "Bivariate Logistic Distributions." J. Amer. Stat. Assoc. 56, 335-349, 1961.
Gumbel, E. J. and Mustafi, C. K. "Some Analytical Properties of Bivariate Extreme Distributions." J. Amer. Stat. Assoc. 62, 569-
588, 1967.
Johnson, N.; Kotz, S.; and Balakrishnan, N. Continuous Univariate Distributions, Vol. 2, 2nd ed. New York: Wiley, 1995.

Referenced on Wolfram|Alpha: Gumbel Distribution

CITE THIS AS:

Weisstein, Eric W. "Gumbel Distribution." From MathWorld--A Wolfram Web Resource.
http://mathworld.wolfram.com/GumbelDistribution.html

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