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prob.ExtremeValueDistribution class

Package: prob
Superclasses: prob.ToolboxFittableParametricDistribution

Extreme value probability distribution object

Description

prob.ExtremeValueDistribution is an object consisting of parameters, a model description, and sample data for an extreme value probability distribution.

Create a probability distribution object with specified parameter values using makedist. Alternatively, fit a distribution to data using fitdist or the Distribution Fitting app.

Construction

pd = makedist('ExtremeValue') creates an extreme value probability distribution object using the default parameter values.

pd = makedist('ExtremeValue','mu',mu,'sigma',sigma) creates an extreme value probability distribution object using the specified parameter values.

Input Arguments

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Location parameter of the extreme value distribution, specified as a scalar value.

Data Types: single | double

Scale parameter of the extreme value distribution, specified as a nonnegative scalar value.

Data Types: single | double

Properties

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Location parameter of the extreme value distribution, stored as a scalar value.

Data Types: single | double

Scale parameter of the extreme value distribution, stored as a nonnegative scalar value.

Data Types: single | double

Probability distribution name, stored as a character vector. This property is read-only.

Data Types: char

Data used for distribution fitting, stored as a structure containing the following:

  • data: Data vector used for distribution fitting.

  • cens: Censoring vector, or empty if none.

  • freq: Frequency vector, or empty if none.

This property is read-only.

Data Types: struct

Logical flag for truncated distribution, stored as a logical value. If IsTruncated equals 0, the distribution is not truncated. If IsTruncated equals 1, the distribution is truncated. This property is read-only.

Data Types: logical

Number of parameters for the probability distribution, stored as a positive integer value. This property is read-only.

Data Types: single | double

Covariance matrix of the parameter estimates, stored as a p-by-p matrix, where p is the number of parameters in the distribution. The (i,j) element is the covariance between the estimates of the ith parameter and the jth parameter. The (i,i) element is the estimated variance of the ith parameter. If parameter i is fixed rather than estimated by fitting the distribution to data, then the (i,i) elements of the covariance matrix are 0. This property is read-only.

Data Types: single | double

Distribution parameter descriptions, stored as a cell array of character vectors. Each cell contains a short description of one distribution parameter. This property is read-only.

Data Types: char

Logical flag for fixed parameters, stored as an array of logical values. If 0, the corresponding parameter in the ParameterNames array is not fixed. If 1, the corresponding parameter in the ParameterNames array is fixed. This property is read-only.

Data Types: logical

Distribution parameter names, stored as a cell array of character vectors. This property is read-only.

Data Types: char

Distribution parameter values, stored as a vector. This property is read-only.

Data Types: single | double

Truncation interval for the probability distribution, stored as a vector containing the lower and upper truncation boundaries. This property is read-only.

Data Types: single | double

Methods

Inherited Methods

cdf Cumulative distribution function of probability distribution object
icdfInverse cumulative distribution function of probability distribution object
iqrInterquartile range of probability distribution object
median Median of probability distribution object
pdfProbability density function of probability distribution object
randomGenerate random numbers from probability distribution object
truncateTruncate probability distribution object
meanMean of probability distribution object
negloglikNegative log likelihood of probability distribution object
paramciConfidence intervals for probability distribution parameters
proflikProfile likelihood function for probability distribution object
std Standard deviation of probability distribution object
varVariance of probability distribution object

Definitions

Extreme Value Distribution

The extreme value distribution is appropriate for modeling the smallest value from a distribution whose tails decay exponentially fast, for example, the normal distribution. It can also model the largest value from a distribution, such as the normal or exponential distributions, by using the negative of the original values.

The extreme value distribution uses the following parameters.

ParameterDescriptionSupport
muLocation parameter<μ<
sigmaScale parameterσ0

The probability density function (pdf) is

f(x|μ,σ)=σ1exp(xμσ)exp(exp(xμσ));<x<.

This form of the probability density function is suitable for modeling the minimum value. To model the maximum value, use the negative of the original values.

Examples

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Create an extreme value distribution object using the default parameter values.

pd = makedist('ExtremeValue')
pd = 

  ExtremeValueDistribution

  Extreme Value distribution
       mu = 0
    sigma = 1

Create an extreme value distribution object by specifying the parameter values.

pd = makedist('ExtremeValue', 'mu',-1,'sigma',2)
pd = 

  ExtremeValueDistribution

  Extreme Value distribution
       mu = -1
    sigma =  2

Compute the standard deviation for the distribution.

s = std(pd)
s =

    2.5651
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