GEVD: The Generalized Extreme Value Distribution

Description

Density, distribution function, quantile function, and random generation for the generalized extreme value distribution.

Usage

dgevd(x, location = 0, scale = 1, shape = 0)
  pgevd(q, location = 0, scale = 1, shape = 0)
  qgevd(p, location = 0, scale = 1, shape = 0)
  rgevd(n, location = 0, scale = 1, shape = 0)

Arguments

vector of quantiles.

vector of probabilities between 0 and 1.

sample size. If length(n) is larger than 1, then length(n) random values are returned.

location

vector of location parameters.

scale

vector of positive scale parameters.

shape

vector of shape parameters.

Value

density (devd), probability (pevd), quantile (qevd), or random sample (revd) for the generalized extreme value distribution with location parameter(s) determined by location, scale parameter(s) determined by scale, and shape parameter(s) determined by shape.

Details

Let $X$ be a generalized extreme value random variable with parameters location=$\eta$, scale=$\theta$, and shape=$\kappa$. When the shape parameter $\kappa = 0$, the generalized extreme value distribution reduces to the extreme value distribution. When the shape parameter $\kappa \ne 0$, the cumulative distribution function of $X$ is given by: $$F(x; \eta, \theta, \kappa) = exp\{-[1 - \kappa(x-\eta)/\theta]^{1/\kappa}\}$$ where $-\infty < \eta, \kappa < \infty$ and $\theta > 0$. When $\kappa > 0$, the range of $x$ is: $$-\infty < x \le \eta + \theta/\kappa$$ and when $\kappa < 0$ the range of $x$ is: $$\eta + \theta/\kappa \le x < \infty$$

The $p^th$ quantile of $X$ is given by: $$x_{p} = \eta + \frac{\theta \{1 - [-log(p)]^{\kappa}\}}{\kappa}$$

References

Forbes, C., M. Evans, N. Hastings, and B. Peacock. (2011). Statistical Distributions. Fourth Edition. John Wiley and Sons, Hoboken, NJ.

Jenkinson, A.F. (1955). The Frequency Distribution of the Annual Maximum (or Minimum) of Meteorological Events. Quarterly Journal of the Royal Meteorological Society, 81, 158--171.

Johnson, N. L., S. Kotz, and N. Balakrishnan. (1995). Continuous Univariate Distributions, Volume 2. Second Edition. John Wiley and Sons, New York.

Examples

Run this code

# NOT RUN {
  # Density of a generalized extreme value distribution with 
  # location=0, scale=1, and shape=0, evaluated at 0.5: 

  dgevd(.5) 
  #[1] 0.3307043

  #----------

  # The cdf of a generalized extreme value distribution with 
  # location=1, scale=2, and shape=0.25, evaluated at 0.5: 

  pgevd(.5, 1, 2, 0.25) 
  #[1] 0.2795905

  #----------

  # The 90'th percentile of a generalized extreme value distribution with 
  # location=-2, scale=0.5, and shape=-0.25: 

  qgevd(.9, -2, 0.5, -0.25) 
  #[1] -0.4895683

  #----------

  # Random sample of 4 observations from a generalized extreme value 
  # distribution with location=5, scale=2, and shape=1. 
  # (Note: the call to set.seed simply allows you to reproduce this example.)

  set.seed(20) 
  rgevd(4, 5, 2, 1) 
  #[1] 6.738692 6.473457 4.446649 5.727085
# }

Run the code above in your browser using DataCamp Workspace