You are on page 1of 3

1/1/2018 Gumbel Distribution -- from Wolfram MathWorld

Search MathWorld

Algebra

Applied Mathematics Probability and Statistics > Statistical Distributions > Continuous Distributions >
History and Terminology > Wolfram Language Commands > gumbel distribution
Calculus and Analysis MathWorld Contributors > Glosemeyer >
Interactive Entries > Interactive Demonstrations >
Discrete Mathematics THINGS TO TRY:
gumbel distribution
Gumbel Distribution
Foundations of Mathematics
0xff42ca
Geometry
exp fit
History and Terminology

Number Theory There are essentially three types of Fisher-Tippett extreme value distributions. The most common is the type I
distribution, which are sometimes referred to as Gumbel types or just Gumbel distributions. These are distributions of
Probability and Statistics
an extreme order statistic for a distribution of elements . In this work, the term "Gumbel distribution" is used to
Recreational Mathematics refer to the distribution corresponding to a minimum extreme value distribution (i.e., the distribution of the minimum
). Sample versus
Topology Theoretical
The Gumbel distribution with location parameter and scale parameter is implemented in the Wolfram Language as Distribution
Alphabetical Index Joe Bolte
GumbelDistribution[alpha, beta].
Interactive Entries
It has probability density function and distribution function
Random Entry
New in MathWorld
(1)
MathWorld Classroom
(2)
About MathWorld
Contribute to MathWorld The mean, variance, skewness, and kurtosis excess are
Send a Message to the Team
(3)
MathWorld Book (4)

(5)
Wolfram Web Resources »
13,636 entries (6)
Last updated: Mon Jan 1 2018

Created, developed, and where is the Euler-Mascheroni constant and is Apéry's constant.
nurtured by Eric Weisstein
at Wolfram Research

The distribution of taken from a continuous uniform distribution over the unit interval has probability function

(7)

and distribution function

(8)

The th raw moment is given by

(9)

The first few central moments are

(10)

(11)

(12)

The mean, variance, skewness, and kurtosis excess are therefore given by

(13)

(14)

(15)

(16)

http://mathworld.wolfram.com/GumbelDistribution.html 1/3
1/1/2018 Gumbel Distribution -- from Wolfram MathWorld
If are instead taken from a standard normal distribution, then the corresponding cumulative distribution is

(17)

(18)

where is the normal distribution function. The probability distribution of is then

(19)

(20)

The mean and variance are expressible in closed form for small ,

(21)

(22)

(23)

(24)

(25)

and

(26)

(27)

(28)

(29)

(30)

No exact expression is known for or , but there is an equation connecting them

(31)

SEE ALSO:
Extreme Value Distribution, Inverse Gumbel Distribution

REFERENCES:
Gumbel, E. J. "Multivariate Extremal Distributions." Bull. Inst. Internat. de Statistique 37, 471-475, 1960a.
Gumbel, E. J. "Distributions del valeurs extremes en plusieurs dimensions." Publ. l'Inst. de Statistique, Paris 9, 171-173, 1960b.
Gumbel, E. J. "Bivariate Logistic Distributions." J. Amer. Stat. Assoc. 56, 335-349, 1961.
Gumbel, E. J. and Mustafi, C. K. "Some Analytical Properties of Bivariate Extreme Distributions." J. Amer. Stat. Assoc. 62, 569-
588, 1967.
Johnson, N.; Kotz, S.; and Balakrishnan, N. Continuous Univariate Distributions, Vol. 2, 2nd ed. New York: Wiley, 1995.

Referenced on Wolfram|Alpha: Gumbel Distribution

CITE THIS AS:


Weisstein, Eric W. "Gumbel Distribution." From MathWorld--A Wolfram Web Resource.
http://mathworld.wolfram.com/GumbelDistribution.html

Wolfram Web Resources

Mathematica » Wolfram|Alpha » Wolfram Demonstrations Project »


The #1 tool for creating Explore anything with the first Explore thousands of free applications
Demonstrations and anything computational knowledge engine. across science, mathematics,
technical. engineering, technology, business, art,
finance, social sciences, and more.

Computerbasedmath.org » Online Integral Calculator » Step-by-step Solutions »


Join the initiative for modernizing math Solve integrals with Wolfram|Alpha. Walk through homework problems step-
education. by-step from beginning to end. Hints help
you try the next step on your own.

Wolfram Problem Generator » Wolfram Education Portal » Wolfram Language »


Unlimited random practice problems Collection of teaching and learning Knowledge-based programming for
and answers with built-in Step-by- tools built by Wolfram education everyone.
step solutions. Practice online or experts: dynamic textbook, lesson
make a printable study sheet. plans, widgets, interactive
Demonstrations, and more.

Contact the MathWorld Team © 1999-2018 Wolfram Research, Inc. | Terms of Use

http://mathworld.wolfram.com/GumbelDistribution.html 2/3
1/1/2018 Gumbel Distribution -- from Wolfram MathWorld

http://mathworld.wolfram.com/GumbelDistribution.html 3/3