Tuesday, June 18, 2013

Kotz, Nadarajah, 2000, Extreme value distributions, theory and applications

The extreme value distribution is (Gumbel-type distribution): 
  Pr[X<=x] = exp[-exp[-(x-mu)/sigma] ]
This is often called the double-exponential distribution. 

The generalized extreme value distribution is:
See http://en.wikipedia.org/wiki/Generalized_extreme_value_distribution

There should some forms of conversion between the extreme value distribution and Gompertz distribution. 

Reference:
Kotz, Nadarajah, 2000, Extreme value distributions, theory and applications

http://mathworld.wolfram.com/ExtremeValueDistribution.html

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