Type-2 Gumbel
Parameters (real)
shape (real)
PDF
CDF
Mean
Variance

In probability theory, the Type-2 Gumbel probability density function is

for

.

For the mean is infinite. For the variance is infinite.

The cumulative distribution function is

The moments exist for

The distribution is named after Emil Julius Gumbel (1891 – 1966).

Generating random variates

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

has a Type-2 Gumbel distribution with parameter and . This is obtained by applying the inverse transform sampling-method.

Related distributions


Based on The GNU Scientific Library, used under GFDL.

See also