MaxStableDistribution

MaxStableDistribution[μ,σ,ξ]
represents a generalized maximum extreme value distribution with location parameter μ, scale parameter σ, and shape parameter ξ.

DetailsDetails

  • MaxStableDistribution is also known as FisherTippet distribution.
  • The generalized maximum extreme value distribution gives the asymptotic distribution of the maximum value in a sample from a distribution such as the normal, Cauchy, or beta distribution.
  • The probability density for value in a generalized maximum extreme value distribution is proportional to for and zero otherwise.
  • MaxStableDistribution allows μ and ξ to be any real numbers and σ to be any positive real number.
  • MaxStableDistribution can be used with such functions as Mean, CDF, and RandomVariate.
Introduced in 2010
(8.0)