Talk:Generalized extreme value distribution

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1 Generalized Pareto Distribution
2 Question
3 Disputed
4 Provide practical guidance?
5 References with the answers you are looking for

[edit] Generalized Pareto Distribution

Why is the Generalized Pareto Distribution redirected to this article? First the Generalized Pareto Distribution is not the same as an Extreme Value Distriubution and second the Generalized Pareto Distribution is not mentioned a single time in the article.

I have changed the redirect, so it points now to Pareto distribution instead. DFH 18:52, 23 December 2006 (UTC)

edit --164.67.196.26 (talk) 23:20, 7 January 2008 (UTC)DBB

I believe the GPD is the same as the GEV using a change of variable so long as they are compared above the threshold used for the GPD. This can be found in eqn. 1.14 of "Extreme Values in Finance, Telecommunications, adnt eh Enviroment" edited by Barbel Finkenstadt and Holger Rootzen.

[edit] Question

what's the conditions on the sequences a_n and b_n?

[edit] Disputed

The figure showing the Gumbel, Fréchet and Weibull is inconsistent with the equations. In particular, how is it that the Fréchet and Weibull have different maximum heights? And why is it that the Weibull in the figure has a range that ends at 2?

I'm not familiar with these distributions, but I do see that the equations expressing them are the CUMULATIVE distribution functions, while the plots are of the probability DENSITY functions. If μ were equal to 2 (which should have been made clear in the plot) the Weibull distribution would end at 2. PAR 06:15, 16 January 2006 (UTC)

O.K., but compare to the specific article on the Weibull_distribution which says that x>0.

Right, the plots are not enough illustrative when the used parameters (esp. μ) are not presented.

To avoid even more confusion, let me say, that μ is not an expected value E(X) (mean that is commonly denoted μ) of the distribution here.

Instead, E(X) = 0 for all the 3 plotted distributions, while parameter μ = 2 for the Weibull-type distribution and some negative (near to -2?) for the Fréchet-type there.

Moreover, the presented Weibull-type distribution here is usually called reversed Weibull distribution because it is... reversed compared to Weibull distribution.

The linked article presents special form of the generalized Weibull distribution, where μ = 0, while this article refers to reversed form of the generalized Weibull distribution...

Thanks. (13 Mar 2006)

Figure shown and disputed is from the Matlab Statistics toolbox which fully describes the function definitions; see :

I have inserted "Reversed" and added some discussion. Melcombe (talk) 17:56, 21 February 2008 (UTC)

[edit] Provide practical guidance?

I arrived at this page with a specific, practical, and probably common, problem, and did not find the solution (or else did not recognize it). The problem is, if I believe a variable x follows some distribution, then what is the formula for the expected EVD of samples of size n? It would be very helpful to provide some examples along these lines for common distributions (eg Gaussian).

My best hint is to use a statistical evaluation program, e.g. the R package "extRemes" - it can give you parameters to a fit as well as goodness-of-fit estimations.

This might be obvious, but just in case, here goes: If the pdf of x is f(x) and it's cdf is F(x) and you have N samples, the exact pdf for the maximum from a sample of size N is Nf(x)F(x)^(N-1).

[There seems to be a misconception here. The EVD provided applies to all probability distributions asymptotically (i.e., as the number of samples increases without limit) much as the Gaussian distribution is the asymptotical limit for N summed variables of any distribution. Obviously, different underlying distributions will have different values for the parameters. If F(x) is any cumulative distribution function, the probability that some X is the maximum of N values is given by F(X) raised to the Nth power. Letting N increase without limit, one can derive the EVD distributions.] —Preceding unsigned comment added by Jymcr (talk • contribs) 17:24, 4 September 2007 (UTC)

That looks correct. 69.143.236.33 00:28, 18 October 2007 (UTC)