Fisher-Tippett distribution

Jump to: navigation, search
Fisher-Tippett
Probability density function
Probability distribution function
Cumulative distribution function
Cumulative distribution function
Parameters location (real)
scale (real)
Support
Probability density function (pdf)
where
Cumulative distribution function (cdf)
Mean
Median
Mode
Variance
Skewness
Excess kurtosis
Entropy
for
Moment-generating function (mgf)
Characteristic function

In probability theory and statistics the Gumbel distribution (named after Emil Julius Gumbel (18911966)) is used to find the minimum (or the maximum) of a number of samples of various distributions. For example we would use it to find the maximum level of a river in a particular year if we had the list of maximum values for the past ten years. It is therefore useful in predicting the chance that an extreme earthquake, flood or other natural disaster will occur.

The distribution of the samples could be of the normal or exponential type. The Gumbel distribution, and similar distributions, are used in extreme value theory.

In particular, the Gumbel distribution is a special case of the Fisher-Tippett distribution (named after Sir Ronald Aylmer Fisher (18901962) and Leonard Henry Caleb Tippett (19021985)), also known as the log-Weibull distribution.

Properties

The cumulative distribution function of the Fisher-Tippett distribution is

The median is

The mean is where = Euler-Mascheroni constant = 0.57721...

The standard deviation is

The mode is μ.

Properties of the Gumbel distribution

The standard Gumbel distribution is the case where μ = 0 and β = 1 with cumulative distribution function

and probability density function

The median is

The mean is , the Euler-Mascheroni constant 0.57721...

The standard deviation is

The mode is 0.

Parameter estimation

A more practical way of using the distribution could be

where M is the median. To fit values one could get the median straight away and then vary μ until it fits the list of values.

Generating Fisher-Tippett variates

Given a random variate U drawn from the uniform distribution in the interval (0, 1], the variate

has a Fisher-Tippett distribution with parameters μ and β. This follows from the form of the cumulative distribution function given above.

File:Gumbel paper.JPG
A piece of graph paper that incorporates the Gumbel distribution.

See also

de:Gumbel-Verteilung fa:توزیع فیشر‐تیپت it:Distribuzione di Fisher-Tippet


Linked-in.jpg