Revision as of 19:12, 8 November 2003 edit64.118.101.118 (talk)No edit summary← Previous edit | Revision as of 23:29, 27 December 2003 edit undoKarada (talk | contribs)Extended confirmed users24,485 edits The Gumbel distribution, and similar distributions, are used in extreme value theory.Next edit → | ||
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In ] and ] the '''Gumbel distribution''' is used to find the minimum (or the maximum) of a number of samples of various distributions. These distributions could be of the normal or exponential type. It is used for the extreme values of water levels |
In ] and ] the '''Gumbel distribution''' is used to find the minimum (or the maximum) of a number of samples of various distributions. These distributions could be of the normal or exponential type. It is used for the extreme values of water levels, floods and wind velocities. The Gumbel distribution, and similar distributions, are used in ]. | ||
It is sometimes called the '''Fisher-Tippett distribution''' and is defined as | It is sometimes called the '''Fisher-Tippett distribution''' and is defined as |
Revision as of 23:29, 27 December 2003
In probability theory and statistics the Gumbel distribution is used to find the minimum (or the maximum) of a number of samples of various distributions. These distributions could be of the normal or exponential type. It is used for the extreme values of water levels, floods and wind velocities. The Gumbel distribution, and similar distributions, are used in extreme value theory.
It is sometimes called the Fisher-Tippett distribution and is defined as
A more practical way of using the distribution could be
p=exp(-exp(-0.367*(A-x)/(A-M)) ;-.367=ln(-ln(.5))
where M is the Median.To fit values one could get the Median straight away and then vary A untill it fits the list of values.
Its variates(ie to get a list of random values) can be given as ;
x=A-B*ln(-ln(rnd))
Its percentiles can be given by ;
x=A-B*ln(-ln(p))
ie Q1=A-B*ln(-ln(.25))
The Median is A-B*ln(-ln(.5))
Q3=A-B*ln(-ln(.75))
The mean is A+g*B 'g=Eulers constant = .57721
The sd = B * Pi()* sqr(1/6)
Its mode is A