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lmom (version 3.2)

cdfgev: Generalized extreme-value distribution

Description

Distribution function and quantile function of the generalized extreme-value distribution.

Usage

cdfgev(x, para = c(0, 1, 0))
quagev(f, para = c(0, 1, 0))

Value

cdfgev gives the distribution function;

quagev gives the quantile function.

Arguments

x

Vector of quantiles.

f

Vector of probabilities.

para

Numeric vector containing the parameters of the distribution, in the order \(\xi, \alpha, k\) (location, scale, shape).

Details

The generalized extreme-value distribution with location parameter \(\xi\), scale parameter \(\alpha\) and shape parameter \(k\) has distribution function $$F(x)=\exp\lbrace-\exp(-y)\rbrace$$ where $$y=-k^{-1}\log\lbrace1-k(x-\xi)/\alpha\rbrace,$$ with \(x\) bounded by \(\xi+\alpha/k\) from below if \(k<0\) and from above if \(k>0\), and quantile function $$x(F)=\xi+{\alpha\over k}\lbrace1-(-\log F)^k\rbrace.$$

Extreme-value distribution types I, II and III (Gumbel, Frechet, Weibull) correspond to shape parameter values \(k=0\), \(k<0\) and \(k>0\) respectively.

References

Jenkinson, A. F. (1955). The frequency distribution of the annual maximum (or minimum) of meteorological elements. Quarterly Journal of the Royal Meteorological Society, 81, 158-171.

See Also

cdfgum for the Gumbel (extreme-value type I) distribution.

cdfkap for the kappa distribution, which generalizes the generalized extreme-value distribution.

cdfwei for the Weibull distribution,

Examples

Run this code
# Random sample from the generalized extreme-value distribution
# with parameters xi=0, alpha=1, k=-0.5.
quagev(runif(100), c(0,1,-0.5))

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