GeneralizedExtremeValueDistribution

Generalized extreme value probability distribution object

Description

A GeneralizedExtremeValueDistribution object consists of parameters, a model description, and sample data for a generalized extreme value probability distribution.

The generalized extreme value distribution is often used to model the smallest or largest value among a large set of independent, identically distributed random values representing measurements or observations. It combines three simpler distributions into a single form, allowing a continuous range of possible shapes that include all three of the simpler distributions.

The three distribution types correspond to the limiting distribution of block maxima from different classes of underlying distributions:

  • Type 1 — Distributions whose tails decrease exponentially, such as the normal distribution

  • Type 2 — Distributions whose tails decrease as a polynomial, such as Student’s t distribution

  • Type 3 — Distributions whose tails are finite, such as the beta distribution

The generalized extreme value distribution uses the following parameters.

ParameterDescriptionSupport
kShape parameterk
sigmaScale parameterσ0
muLocation parameterμ

Creation

There are several ways to create a GeneralizedExtremeValueDistribution probability distribution object.

  • Create a distribution with specified parameter values using makedist.

  • Fit a distribution to data using fitdist.

  • Interactively fit a distribution to data using the Distribution Fitter app.

Properties

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Distribution Parameters

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

Data Types: single | double

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

Data Types: single | double

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

Data Types: single | double

Distribution Characteristics

This property is read-only.

Logical flag for truncated distribution, specified as a logical value. If IsTruncated equals 0, the distribution is not truncated. If IsTruncated equals 1, the distribution is truncated.

Data Types: logical

This property is read-only.

Number of parameters for the probability distribution, specified as a positive integer value.

Data Types: double

This property is read-only.

Covariance matrix of the parameter estimates, specified 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.

Data Types: double

This property is read-only.

Logical flag for fixed parameters, specified 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.

Data Types: logical

This property is read-only.

Distribution parameter values, specified as a vector.

Data Types: single | double

This property is read-only.

Truncation interval for the probability distribution, specified as a vector containing the lower and upper truncation boundaries.

Data Types: single | double

Other Object Properties

This property is read-only.

Probability distribution name, specified as a character vector.

Data Types: char

This property is read-only.

Data used for distribution fitting, specified 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.

Data Types: struct

This property is read-only.

Distribution parameter descriptions, specified as a cell array of character vectors. Each cell contains a short description of one distribution parameter.

Data Types: char

This property is read-only.

Distribution parameter names, specified as a cell array of character vectors.

Data Types: char

Object Functions

cdfCumulative distribution function
icdfInverse cumulative distribution function
iqrInterquartile range
meanMean of probability distribution
medianMedian of probability distribution
negloglikNegative loglikelihood of probability distribution
paramciConfidence intervals for probability distribution parameters
pdfProbability density function
proflikProfile likelihood function for probability distribution
randomRandom numbers
stdStandard deviation of probability distribution
truncateTruncate probability distribution object
varVariance of probability distribution

Examples

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Create a generalized extreme value distribution object using the default parameter values.

pd = makedist('GeneralizedExtremeValue')
pd = 
  GeneralizedExtremeValueDistribution

  Generalized Extreme Value distribution
        k = 0
    sigma = 1
       mu = 0

Create a generalized extreme value distribution object by specifying values for the parameters.

pd = makedist('GeneralizedExtremeValue','k',0,'sigma',2,'mu',1)
pd = 
  GeneralizedExtremeValueDistribution

  Generalized Extreme Value distribution
        k = 0
    sigma = 2
       mu = 1

Compute the mean of the distribution.

m = mean(pd)
m = 2.1544

Introduced in R2013a