Generalized extreme value distribution

The general extreme value distribution is a continuous probability distribution. It plays a prominent role in extreme value theory, since it summarizes the main possible distributions of extreme values ​​of a sample in a presentation.

Definition

A continuous random variable satisfies a Fisher - Tippett distribution with parameters, and when the probability density

Possesses.

Relationship to other distributions

The extreme value distribution goes beyond the parameters of Fisher - Tippett distribution or Gumbel distribution.

Sample (statistics) Beta-binomial distribution Boltzmann distribution Uniform distribution (discrete) Geometric distribution Logarithmic distribution Zeta distribution Triangular distribution Beta prime distribution Bose–Einstein statistics Erlang distribution F-distribution Fermi–Dirac statistics Hotelling's T-squared distribution Rayleigh distribution Weibull distribution Cauchy distribution Stable distribution Logistic distribution Multinomial distribution Dirichlet distribution Multivariate normal distribution Wishart distribution
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