If mu
, sigma
and xi
are not specified they assume the default values of 0, 1 and 1, respectively.
The Generalized Extreme Value distribution with parameters mu =
\(\mu\), sigma =
\(\sigma\) and xi =
\(\xi\) has density:
$$ [1+z]_{+}^{-\frac{1}{\xi}-1}\exp\left\{-[1+z]_{+}^{-\frac{1}{\xi}}\right\}/\sigma $$
for \(\xi > 0\) or \(\xi < 0\), where \(z = \xi (x - \mu)/\sigma\). If \(\xi = 0\), PDF is as same as in the Gumbel distribution.