Tablada & Cordeiro (2017) - The Modified Frechet Distribution and Its Properties

Communications in Statistics - Theory and Methods
ISSN: 0361-0926 (Print) 1532-415X (Online) Journal homepage: http://www.tandfonline.com/loi/lsta20
The modified Fréchet distribution and its

properties
Claudio J. Tablada & Gauss M. Cordeiro
To cite this article: Claudio J. Tablada & Gauss M. Cordeiro (2017) The modified Fréchet
distribution and its properties, Communications in Statistics - Theory and Methods, 46:21,
10617-10639, DOI: 10.1080/03610926.2016.1239115
To link to this article: http://dx.doi.org/10.1080/03610926.2016.1239115
Accepted author version posted online: 20

Oct 2016.
Published online: 20 Oct 2016.
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Download by: [Claudio Tablada] Date: 14 November 2017, At: 07:43

COMMUNICATIONS IN STATISTICS—THEORY AND METHODS
, VOL. , NO. , –
https://doi.org/./..
The modified Fréchet distribution and its properties

Claudio J. Tablada and Gauss M. Cordeiro
Departamento de Estatística, Universidade Federal de
Pernambuco, Recife, PE, Brazil
ABSTRACT ARTICLE HISTORY

The Fréchet distribution is an absolutely continuous model which has Received  July 
wide applicability in extreme value theory. In this paper, we propose Accepted  September 
a new three-parameter model, so-called the modified Fréchet distribu-
KEYWORDS
Downloaded by [Claudio Tablada] at 07:43 14 November 2017
tion, to extend the Fréchet distribution. By using the Lambert function, Extended distributions;
we obtain some properties of the new distribution. We provide a sim- Fréchet distribution; Lambert
ulation study to illustrate the performance of the maximum likelihood W function; lifetime analysis;
estimates. The flexibility of the introduced distribution is illustrated by modified Fréchet
means of a real data set. We use some goodness-of-fit statistics to ver- distribution.
ify the adequacy of the proposed model. We prove empirically that it is
MATHEMATICS SUBJECT
appropriate for lifetime applications.
CLASSIFICATION
E; N; C; B
1. Introduction
The type II extreme value distribution , also known as the Fréchet distribution, is a family
of continuous distributions developed within the general extreme value theory, which deals
with the stochastic behavior of the maximum and the minimum of independent and identi-
cally distributed (i.i.d.) random variables (Kotz and Nadarajah, 2000). This distribution was
introduced by Maurice Fréchet (1878–1973), who investigated it as one possible limit dis-
tribution for a sequence of maxima. The Fréchet distribution is widely used in applications
involving stochastic phenomena such as rainfall, floods, air pollution (Kotz and Nadarajah,
2000), material properties in engineering applications (Harlow, 2002), and advanced math-
ematical results on point processes and regularly varying functions (Resnick, 2013), among
others.
Given its applicability in extreme value theory, several extensions of the Fréchet distri-
bution were proposed in the literature. Some of them are as follows: the exponentiated
Fréchet (EF) (Nadarajah and Kotz, 2001), beta Fréchet (Nadarajah and Gupta, 2004; Barreto-
Souza et al., 2011), Marshall–Olkin Fréchet (MOF) (Krishna et al., 2013), transmuted Fréchet
(Mahmoud and Mandouh, 2013), gamma extended Fréchet (da Silva et al., 2013), transmuted
EF (Elbatal et al., 2014), Kumaraswamy Fréchet (Mead, 2014), transmuted Marshall–Olkin
Fréchet (Afify et al., 2015), and transmuted exponentiated generalized Fréchet (Yousof et al.,
2015) distributions.
In this paper, we propose a new three-parameter extended Fréchet model named the modi-
fied Fréchet (MF) distribution. Given its simple mathematical form, several of its mathematical
quantities and properties such as the quantile function (qf) and expansions for the ordinary
CONTACT Claudio J. Tablada cjtablada@yahoo.com.ar Departamento de Estatística, Universidade Federal de Pernam-

buco, Cidade Universitária, Recife, PE, CEP: , Brazil.
Color versions of one or more of the figures in the article can be found online at www.tandfonline.com/lsta.
©  Taylor & Francis Group, LLC
10618 C. J. TABLADA AND G. M. CORDEIRO
moments are obtained based on the Lambert W function (Corless et al., 1996; Carrasco et al.,
2008; Silva et al., 2010; Jodrá, 2010). Given that the new distribution has positive real support,
our aim is to define a flexible model for lifetime applications (Marshall and Olkin, 2007).
The paper unfolds as follows. In Sec. 2, we review some main issues of the Lambert W
function. In Sec. 3, we introduce the MF model and discuss the generation of random vari-
ates from this distribution by considering the Lambert function. In Sec. 4, we plot its density
and hazard rate functions for some parameter values. In Sec. 5, we express the qf in terms of
the Lambert function and obtain an expansion for it. In Secs. 6 and 7, we present expansions
for the ordinary and incomplete moments, generating function and Bonferroni and Lorenz
curves using an expansion for the Lambert function. In Sec. 8, we determine the order statis-
tics and their moments. Section 9 is devoted to the maximum likelihood estimates (MLEs) for
complete samples, and in Sec. 10 we carry out a simulation study to evaluate the performance
of these estimates. In Sec. 11, we provide an application of the MF distribution and compare
it with the Fréchet distribution and other three-parameter extended distributions including
the exponentiated Weibull (EW) distribution (Mudholkar and Srivastava, 1993), since it is a
widely used lifetime model. Finally, Sec. 12 concludes the paper.
2. The Lambert W function

The Lambert W function (Corless et al., 1996; Jodrá, 2010) has been applied to solve several
problems in mathematics, physics, and engineering. It is implicitly defined as the branches of
the inverse relation of the function τ (z) = z ez , z ∈ C, that is,
z = τ −1 (z ez ) = W (z ez ), z∈C
The Lambert function cannot be expressed in terms of elementary functions. However, a
feature that makes the Lambert function attractive is that it is analytically differentiable and
integrable. Figure 1 displays plots of W (x) for x ∈ R. We note that for −e−1 ≤ x < 0, there
are two possible real values of W (x) and, therefore, two branches are defined: the branch
Figure . Real branches of the Lambert W function.

COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 10619
satisfying W (x) ≥ −1 is denoted by W0 (x) and called the principal branch of W (·), and the
other branch satisfying W (x) ≤ −1 is denoted by W−1 (x) and called the negative branch of
W (·).
Next, we present some properties and expansions for W0 (·) (Corless et al., 1996). By defi-
nition of the Lambert function, the principal branch satisfies
x = W0 (x ex ), x ≥ −1 (1)
From Equation (1), we obtain (for x ≥ −1)
x
W0 (x ex ) eW0 (x e ) = x ex
and, therefore, letting y = x ex , we note that W0 (·) is the solution of the equation
W0 (y) eW0 (y) = y, y ≥ −e−1 (2)
Furthermore, for |x| ≤ e−1 and r ∈ N, the function W0r (x) has a power series around x0 = 0
given by
∞
r (−n)n−r n
W0r (x) = x (3)
n=r
n (n − r)!
Other useful expansion related to W0 (·) with the exponential function is given by

∞
c (c − n)n−1
ec W0 (x) = xn , c ∈ C, |x| ≤ e−1 (4)
n=0
n!
The properties of the function W0 (x) presented above will be used henceforth to obtain
several mathematical quantities and properties of the MF distribution, which is introduced
in the following section. Since the Lambert W function is implemented in various scientific
libraries, computations of quantities such as quantiles and random variates related to the MF
distribution can be implemented more efficiently.
3. The new distribution

The Fréchet model is a special case of the generalized extreme value distribution, which is
a family of continuous distributions that includes as special cases the Gumbel, Fréchet, and
Weibull distributions, also known as type I, type II, and type III extreme value distributions,
respectively (Kotz and Nadarajah, 2000; Alves and Neves, 2011). Its cumulative distribution
function (cdf) and probability density function (pdf) are respectively given by

α β
G(x; α, β ) = exp − , x > 0, α, β > 0 (5)
x
and

β α β α β
g(x; α, β ) = exp −
x x x
Generalizing distributions is an old practice and has ever been considered as precious
as other practical problems in statistics. The modern era on distribution theory stresses on
problem-solving faced by the applied researchers to propose a variety of models so that
data can be better assessed and explored that are available in different fields of life. In other
words, there is strong need to introduce useful models for better exploration of the real-life
phenomena.
Lai et al. (2003) have successfully defined the three-parameter modified Weibull distribu-
tion by taking appropriate limits on the beta integrated distributions. Also, it is obtained by
extending the Weibull distribution by including the additional term eλx in order to decrease
more rapidly the survival function. Following a similar approach in this paper, we study the
MF distribution by extending the cdf (5) to the form

α β −λx
F (x; α, β, λ) = exp − e , x > 0, α, β > 0, λ ≥ 0 (6)
x
where α, β, and λ are shape parameters. It is straightforward matter to observe that F (x) is
differentiable and strictly increasing in (0, ∞) and that limx→0 F (x) = 0 and limx→∞ F (x) =
1. Therefore, F (x) is, in fact, a legitimate absolutely continuous cdf. Thus, the corresponding
MF density is given by
α β α β
1 −λx
f (x; α, β, λ) = (β + λx) exp −λx − e (7)
x x x
Note that the Fréchet distribution is a special case of the MF distribution when λ = 0.
Hereafter, a random variable X with pdf (7) will be denoted by X ∼ MF(α, β, λ).
3.1. Hazard rate function

In lifetime analysis, a very useful function is the hazard rate function (hrf) h(x) = f (x)/[1 −
F (x)] (Marshall and Olkin, 2007). The hrf of X is given by
(β + λ x) ( αx )β e−λx
h(x; α, β, λ) = α
(8)
x exp ( x )β e−λx − 1
3.2. Generating random numbers

Inverting (6), a random variable X with pdf (7) can be simulated as follows. Let u be an obser-
vation of the random variable U ∼ U (0, 1). Then, an observation of X can be obtained as a
solution of the non linear equation
α β
e−λx + log(u) = 0 (9)
x
Numerical algorithms, such as Newton–Raphson methods, can be used for determining x
from (9).
It is possible to go a step further in (9) and simulate X in a form computationally more
efficient by using the Lambert W function (see Sec. 2). From (9) and after some algebraic
manipulation, we can write
λ x λxβ αλ
e = 1/β
β β log u1
Applying W0 (·) in both sides and using (1) gives

λx αλ
= W0 1/β
β β log 1 u
Figure . Plots of the exact MF densities and histograms of the simulated data for given parameters.
Thus, we obtain the following result: if U ∼ U (0, 1), then

β αλ
X = Q(U ) = W0 1/β ∼ MF(α, β, λ) (10)
λ β log 1 U
In Figure 2, we compare the exact MF densities and histograms from two simulated data
sets for specified parameters by showing the consistency of the simulated values from (10)
with the MF distribution. To simulate the data, we use the R software (version 3.0.2, lamW
package).
4. Shapes of the density and hazard rate functions

The shapes of the pdf (7) can be described analytically by examining the roots of the equa-
tion f (x) = 0 and analyzing its limits when x → 0 or x → ∞. Clearly, since f (x) ≥ 0 is
integrable, then limx→∞ f (x) = 0. The following result gives the limit of f (x) when x → 0.
Proposition 4.1. limx→0 f (x) = 0.
Proof. From (7) we note that f (x) can be expressed as

β α β −λx α β −λx
f (x) = λ + e exp − e
x x x
Since x > 0 and λ ≥ 0, then e−λx ≤ 1 and, therefore,

β α β α β −λx
0 ≤ f (x) ≤ λ + exp − e
x x x
Using the fact that limx→0 e−λx = 1, we have

β α β − ( α )β
0 ≤ lim f (x) ≤ lim λ + e x (11)
x→0 x→0 x x
Next, we prove that
α β
e− ( x )
lim β+1 = 0 (12)
x→0 x
Indeed, we have the known result for all n ∈ N, limx→∞ xn e−x = 0. Letting y = ( αx )β , we have
α
x = y1/β . Thus, x → 0 if and only if y → ∞ and, therefore,
α β β+1
e− ( x ) y β e−y
lim β+1 = lim
x→0 x y→∞ α β+1
β+1
β+1
Let n ∈ N such that β
≤ n. Then, for y ≥ 1, we have y β ≤ yn and then
β+1
y β e−y yn e−y
0 ≤ lim ≤ lim =0
y→∞ α β+1 y→∞ α β+1
which proves (12). Finally, using (12) in the inequality (11), we obtain limx→0 f (x) = 0.
Since limx→0 f (x) = limx→∞ f (x) = 0, then f (x) must have at least one mode. The fol-
lowing result shows that, in fact, f (x) is unimodal.
Proposition 4.2. f (x) is unimodal, with mode x = x0 satisfying
β
α β
e−λx0 − −1=0 (13)
x0 (β + λx0 )2
Sketch of the Proof. For λ = 0, we obtain as particular case the Fréchet distribution, which
is well known to be unimodal. Suppose, then, λ > 0. Let s(x) = u(x) + v (x) be, where
α β
u(x) = (β + λx)2 , v (x) = −eλx β + (β + λx)2
x
It is easy to show that u(x) > 0, v (x) < 0, and v (x) is strictly decreasing, for all
x > 0 and α, β, λ > 0. Furthermore, limx→0 u(x) = ∞, limx→0 v (x) = −β(1 + β ), and
limx→∞ v (x) = −∞. So, limx→0 s(x) = ∞.
To calculate f (x), we obtain

1 α β α β −λx
f (x) = 2 exp − e − 2λx s(x)
x x x
and, therefore, f (x) = 0 if and only if s(x) = 0. Since f (x) must have at least one mode, there
exists x0 ∈ (0, ∞) such that s(x0 ) = 0.
We have
α β β(β + λx)

u (x) = (β + λx) 2λ −
x x
Consider two cases: β ≥ 2 and 0 < β < 2. An analysis of u (x) reveals that, in the first case,
u(x) is strictly decreasing in (0, ∞), with limx→∞ u(x) < ∞. So, s(x) is strictly decreasing in
(0, ∞) and limx→∞ s(x) = −∞. In the second case, we have that u(x) is strictly convex, with
β2
minimum point at x∗ = (2−β )λ
. Since u(x) is strictly decreasing in (0, x∗ ), then s(x) is also
strictly decreasing in this interval. To see that s(x) is strictly decreasing in (x∗ , ∞), consider
x = x∗ + z, with z > 0. Thus, x ∈ (x∗ , ∞) and
2 β 2
2β α(2 − β )λ β 2 /(2−β ) λz 2β
s(x) = s̃(z) = + λz −e e + λz +β
2−β β 2 + (2 − β )λ z 2−β
An analysis of s̃(z), for z > 0, reveals that s̃(z) is strictly decreasing and, because of the expo-
nential term, we have limz→∞ s̃(z) = −∞. We conclude then that, in the second case, s(x) is
strictly decreasing in (0, ∞) and limx→∞ s(x) = −∞, too.
Since s(x0 ) = 0, limx→0 s(x) = ∞, limx→∞ s(x) = −∞, and s(x) is strictly decreasing in
(0, ∞), we conclude that x0 is the unique point in (0, ∞) such that f (x0 ) = 0. Thus, f (x) is
unimodal, with mode x = x0 satisfying
β
e−λx0 α β
s(x0 ) = e−λx0 − −1=0
(β + λ x0 ) 2 x0 (β + λx0 )2

The shape parameters α, β, and λ allow extensive control on the right tail, providing
more light or heavy tails, accordingly β and λ decrease (α increases) or β and λ increase
(α decreases), respectively.
The following corollary of the Proposition 4.2 gives the behavior of the mode of f (x) in
function of the parameters. Hereafter, the symbol → means “tends to”.
Corollary 4.3. Let x0 be the mode of f (x). Then

a) α → 0+ implies that x0 → 0+ and α → ∞ implies that x0 → ∞.
b) β → 0+ implies that x0 → 0+ .
β 1/β
c) λ → 0+ implies that x0 → α( β+1 ) .
Proof.
a) Note that, from Equation (13), we have
1/β
β
α = x0 eλx0 /β +1
(β + λx0 )2
Thus, α → 0+ implies that x0 → 0+ and α → ∞ implies that x0 → ∞.
b) From (13), we have that β → 0+ implies that e−λx0 → 1, which implies that x0 → 0+ .
c) From (13), we have that λ → 0+ implies that ( xα0 )β − β1 − 1 → 0, which implies that
β 1/β
x0 → α( β+1 ) , the mode of the Fréchet distribution.
The plots in Figure 3 display the shapes of the pdf of X for some parameter values.
The plots of the hrf of X displayed in Figure 4 reveal the classical shapes such as decreasing,
unimodal, and bathtub. So, the new distribution can be appropriate for different applications
in lifetime analysis.
Figure . Plots of the pdf () for selected parameters.

Figure . Plots of the hrf () for selected parameters.

5. Quantile function
Since the cdf F (x) given in (6) is continuous and strictly increasing, the qf of X is Q(u) =
F −1 (u), for 0 < u < 1. From Sec. 3.2, we note that, for λ > 0, the qf of the MF distribution
can be given explicitly in terms of the Lambert function as in (10).
By using (3), we obtain the following result.
αλ )β eβ
Proposition 5.1. For 0 < u ≤ e−( β and λ > 0, the qf of the MF distribution can be
expanded as

∞
(−n λ)n−1 α n
Q(u) = n/β (14)
n=1 n! β n−1 log u1
Proof. Applying (3) (with r = 1) in (10), we obtain (14). Since the radius of convergence in (3)
is e−1 , then the expansion (14) converges only if β[log(α 1λ)]1/β ≤ e−1 , which is equivalent to u ≤
u
αλ β β αλ )β eβ
e−( β ) e . Finally, since α, β, λ > 0, then e−( β < 1 and therefore (14) holds only for 0 <
αλ β β
u ≤ e−( β ) e .
From the result above, we note that Equation (14) is particularly useful when αβλ ≈ 0, since
αλ β β
in this case e−( β ) e ≈ 1.
Useful skewness and kurtosis measures are given by α3 = μ3 /σ 3 and α4 = μ4 /σ 4 , respec-
tively, where μ j is the jth central moment and σ is the standard deviation. Since for some
parameter values the moments of the MF distribution cannot exist, alternative measures for
the skewness and kurtosis based on quantiles are sometimes more appropriate. The skewness
measure S of Bowley and the kurtosis measure K of Moors are, respectively, defined by
Q(6/8) + Q(2/8) − 2 Q(4/8)
S= (15)
Q(6/8) − Q(2/8)
and
Q(7/8) − Q(5/8) + Q(3/8) − Q(1/8)
K= (16)
Q(6/8) − Q(2/8)
These measures are more robust and they exist even for distributions without moments.
Figure . Plots of the skewness and kurtosis for selected parameters.

Figure 5 displays plots of the skewness (15) and kurtosis (16) as functions of λ for some
values of α and β. For evaluating the quantiles using the Lambert function given by (10),
we use the R software (version 3.0.2, lamW package). These plots reveal that, in general, the
skewness and kurtosis measures are decreasing functions of λ.
6. Moments
Moments are important in any statistical analysis. Some of the most important features of a
distribution can be studied through moments. For instance, the first four moments can be
used to describe some characteristics of a distribution. For r ∈ N, the rth ordinary moment
μr of X is given by
∞ ∞ α β α β
μr = E(X r ) = xr f (x) dx = xr−1 (β + λx) exp −λx − e−λx dx
0 0 x x
(17)
For practical purposes, μr can be evaluated numerically.
Also, for z ≥ 0, the rth incomplete moment of X is defined by
z z α β α β
mX(r) (z) = x f (x) dx =
r
x r−1
(β + λx) exp −λx − e −λx
dx (18)
0 0 x x
Clearly, mX(r) (0) = 0 and μr = limz→∞ mX(r) (z). The following result gives an expansion for
the rth incomplete moment of X in terms of generalized exponential integrals.
β
Proposition 6.1. For λ > 0 and 0 < z ≤ λ
W0 (e−1 ), the rth incomplete moment of X can be
expressed as

∞
α β −λz
mX(r) (z) = cn (z) En/β e
n=r
z
n
r (−n)n−r α n λn−r
∞
where cn (z) = an[( αz )β e−λz ]1− β , an = n (n−r)! β n−r
, and Eν (x) = 1
e−tx t −ν dt is the gener-
alized exponential-integral function.
Proof. Letting t = ( αx )β e−λx and after some algebraic manipulation, we have

λ x λx/β αλ
e =
β β t 1/β
Applying W0 (·) in both sides and using (1) gives

β αλ
x = W0
λ β t 1/β
Using the result dt
dx
= − x1 (β + λx)( αx )β e−λx in (18), we obtain
r ∞
(r) β αλ
mX (z) = W0r
e−t dt
λ ( αz )β e−λz β t 1/β
αλ
Using (3) and assuming that β t 1/β
≤ e−1 gives

∞
∞
e−t
mX(r) (z) = an dt (19)
( αz )β e−λz n=r t n/β
where
r (−n)n−r α n λn−r
an = (20)
n (n − r)! β n−r
Since, for r ∈ N, there exists M > 1 such that W0r( β αt 1/β λ
) < t r in (M, ∞) and t r e−t is inte-
grable in (0, ∞), then W0r( β αt 1/β
λ
)e−t is integrable in (M, ∞). Therefore, by the continuity
α λ
of W0r( β t 1/β )e−t in [ε, M] for all 0 < ε < M, we conclude that this function is integrable in
−t
[( αz )β e−λz , ∞), since ( αz )β e−λz > 0. In addition, the functions ten/β , n = r, r + 1, . . . , are inte-
grable in [( αz )β e−λz , ∞). Thus, it is possible to exchange in (19) the infinite sum and the inte-
gral using the dominated convergence theorem. We obtain
∞ ∞
e−t
mX(r) (z) = an n/β
dt (21)
n=r ( αz )β e−λz t
The generalized exponential-integral function is defined by (Chiccoli et al., 1990)

∞
Eν (x) = e−tx t −ν dt, x > 0, ν ∈ R
1
which is equivalent to
∞
ν−1
Eν (x) = x e−t t −ν dt (22)
x
Thus, letting ν = n
β
and x = ( αz )β e−λz in (22) and replacing in (21), we obtain

∞
α β −λz
mX(r) (z) = cn (z) En/β e (23)
n=r
z
where
n
α β −λz 1− β
cn (z) = an e
z
We have that the radius of convergence in (3) is e−1 and therefore we must have that β αt 1/β
λ
≤
−1 αλ β β αλ β β
e , which is equivalent to t ≥ ( β ) e . Since the lower limit ( β ) e is attained in (19) for
z = βλ W0 (e−1 ) and the function ( αz )β e−λz is decreasing, expansion (3) can be applied only for
0 < z ≤ βλ W0 (e−1 ), which implies that (23) is only valid in this range.
From the above proof, we obtain the following result.

Corollary 6.2. If β > r, then μr < ∞.
Proof. If λ = 0, we obtain the Fréchet distribution, which is a well-known result. If λ > 0,
we have that there exists M > 0 such that W0r ( β αt 1/β
λ
) < t −r/β in (0, M ) for β > r and since
t e is integrable in (0, ∞) for β > r, then W0 ( β αt 1/β
−r/β −t r λ
)e−t also is integrable in (0, M )
for β > r. From the proof of Proposition 6.1, we conclude that W0r ( β αt 1/β λ
)e−t is integrable
in (0, ∞) for β > r and therefore μr < ∞.
The following result provides an expansion for μr by considering a suitable transformation
in (17).
Proposition 6.3. For λ > 0 and μr < ∞, an expression for μr is given by
β
∞ ∞ ∞
e αλ
μr = p1 (n) In (k) + p2 (n) En/β (24)
k=1 n=r n=r
β
where
n−r r
2β α n λ r(−n)n−r r(−n)n−r β e αλ β−n
p1 (n) = , p2 (n) =
β2 β n(n − r)! n(n − r)! λ β
and
β (1−β )β
1− βn 1− βn eαλ eαλ
In (k) = (ϑk+1 ) En/β (ϑk+1 ) − (ϑk ) En/β (ϑk ), ϑk =
2βkβ β
Proof. Following the proof in Proposition 6.1, we can write
r ∞
β αλ
μr = W0r e−t dt
λ 0 β t 1/β
Setting t1 = ( e βαλ )β and dividing the integration interval, we can write μr = ( βλ )r(I1 + I2 ),
where
t1 ∞
αλ −t αλ
I1 = W0r
e dt, I2 = W0 r
e−t dt
0 β t 1/β t1 β t 1/β
αλ
Since 0 < β t 1/β
< e−1 for t1 < t < ∞, applying the expansion (3), we obtain
∞
r(−n)n−r 1− βn
I2 = t En/β (t1 ) (25)
n=r
n(n − r)! 1
αλ β
Next, we aim to find an expression for I1 . Note that, since the set {tk = ( ekβ ) : k ∈ N}
is enumerable, it can be neglected of the integration interval of I1 . Further, since
μr < ∞, the function w(t ) = W0r( β αt 1/β λ
)e−t is integrable in (0, t1 ). Let wk (t ) =
w(t ) I(tk+1 ,tk ) (t ), where I(tk+1 ,tk ) (t ) is the indicator function of the interval (tk+1 , tk ). Thus,

we have w(t ) = ∞ k=1 wk (t ) almost everywhere t ∈ (0, t1 ). Applying the dominated conver-
gence theorem gives
∞ t1
I1 = wk (t ) dt (26)
k=1 0
Setting y = tan( 2βeπαλ

t 1/β
) for t ∈ (tk+1 , tk ) gives

t1
1 eπαλ β yk+1 r 2
wk (t ) dt = W0 arctan(y)
0 β β yk eπ
β
eπαλ (1 + y2 )−1
× exp − dy
2 β arctan(y) [arctan(y)]β+1
where yk = tan[πkβ ( e αβ λ )β−1 ]. Note that, for t ∈ (tk+1 , tk ), we have 2βt π

1/β = 2 m (m ∈ N) and,
eπαλ
therefore, the above transformation is well defined.

Since | arctan(y)| < π/2, then | eπ2 arctan(y)| < e−1 and, using the expansion (3), we
obtain
t1 ∞ yk+1
r(−n)n−r 2n αλ β β−n
wk (t ) dt = (eπ )
0 n=r
n(n − r)! β β yk
β
eπαλ [arctan(y)]n−β−1
× exp − dy
2 β arctan(y) (1 + y2 )
Setting z = arctan(y), we have

t1 zk+1 β
∞
r(−n)n−r 2n αλ β eπαλ
wk (t ) dt = (eπ )β−n exp − zn−β−1 dz
0 n=r
n(n − r)! β β z k
2βz
(27)
where zk = πkβ( e αβ λ )β−1 . Setting ϑ = ( eπαλ
2βz
) β
, we obtain
zk+1
eπαλ β n−β−1 1 eπαλ n−β ϑk −ϑ −n/β
exp − z dz = e ϑ dϑ (28)
zk 2βz β 2β ϑk+1
where ϑk = ( eπαλ
2β zk
)β .
Replacing (28) in Equation (27) and considering the expression (26) gives
∞ ∞
r(−n)n−r 2β αλ n n n
I1 = (ϑk+1 )1− β En/β (ϑk+1 ) − (ϑk )1− β En/β (ϑk ) (29)
k=1 n=r
n(n − r)! β 2 β
where Eν (x) is defined in (22).

Finally, we obtain from Equations (25) and (29),

∞
∞
∞
μr = p1 (n) In (k) + p2 (n) En/β (t1 )
k=1 n=r n=r
where
n−r r n
2β α n λ r(−n)n−r r(−n)n−r β 1−
p1 (n) = , p2 (n) = t1 β
β2 β n(n − r)! n(n − r)! λ
and
n n
In (k) = (ϑk+1 )1− β En/β (ϑk+1 ) − (ϑk )1− β En/β (ϑk )

6.1. Generating function

The moment generating function (mgf) of X, say M(s) = E(esX ), s ≥ 0, is given by
∞ α β α β
1 −λx
M(s) = (β + λ x) exp (s − λ) x − e dx
0 x x x
Also, for z ≥ 0, we define the incomplete mgf of X by
z α β α β
1
Mz (s) = (β + λ x) exp (s − λ) x − e−λx dx
0 x x x
= mX(r) (z).
r dr
For r ∈ N, we have M (r) (0) = dx
d (r)
r M(s)|s=0 = μr and Mz (0) = Mz (s)|s=0
dxr
Using the expansion (4) we obtain the following result.
Proposition 6.4. For λ > 0 and 0 < z ≤ βλ W0 (e−1 ), the incomplete mgf of X can be expanded
as
∞
α β −λz
Mz (s) = dn (z, s) En/β e
n=0
z
n s(s− λβn )n−1 α n
where dn (z, s) = bn (s)[( αz )β e−λz ]1− β and bn (s) = n!
.
Proof. Letting t = ( αx )β e−λx and following the proof of Proposition 6.1, we obtain
∞
βs αλ
Mz (s) = exp W0 − t dt
( αz )β e−λz λ βt 1/β
β
Then, for 0 < z ≤ λ
W0 (e−1 ), we have from (4)
∞ ∞
e−t
Mz (s) = bn (s) n/β
dt (30)
n=0 ( αz )β e−λz t
where
n−1
λn
s s− β
αn
bn (s) =
n!
Letting ν = n
β
and x = ( αz )β e−λz
in Equation (22) and replacing in (30), we obtain
∞
α β −λz
Mz (s) = dn (z, s) En/β e (31)
n=0
z
where
1− βn
α β −λz
dn (z, s) = bn (s) e
z
We can obtain an expansion for M(s) using expansion (4) and following the insights of the
proof in Proposition 6.3. The result is given in the following proposition.
Proposition 6.5. For λ > 0, an expression for M(s), s ≥ 0, is given by

∞ ∞ ∞
eαλ β
M(s) = p1 (n, s) In (k) + p2 (n, s) En/β (32)
k=1 n=0 n=0
β
where
β−n
(2α)β s(βs − nλ)n−1 s(βs − nλ)n−1 α n eαλ
p1 (n, s) = , p2 (n, s) =
β n+2 n! β n−1 n! β
and In (k) is given in Proposition 6.3.
∞
Proof. From the proof in Proposition 6.1, we have M(s) = 0 ν(t ) dt, where

βs αλ
ν(t ) = exp W0 −t
λ β t 1/β
αλ β
Setting tk = ( ekβ ) , k ∈ N, and following the proof in Proposition 6.3, we have M(s) = I1 +
I2 , where
∞ t1 ∞
I1 = νk (t ) dt, I2 = ν(t ) dt
k=1 0 t1
and νk (t ) = ν(t ) I(tk+1 ,tk ) (t ).

From the expansion (4), we obtain

∞
I2 = p2 (n, s) En/β (t1 )
n=0
n−1 n
α
where p2 (n, s) = s(βs−nλ)
β n−1 n!
t11−n/β .
Following the same sequence of transformations as in the proof of Proposition 6.3, we can
write
t1 ∞
(2α)β s(βs − nλ)n−1 ϑk −ϑ −n/β
νk (t ) dt = e ϑ dϑ
0 n=0
β n+2 n! ϑk+1
eαλ β eαλ (1−β )β

where ϑk = ( 2βkβ ) ( β ) . Thus, we have
∞ ∞
(2α)β s(βs − nλ)n−1
I1 = In (k)
k=1 n=0
β n+2 n!
where In (k) is given in Proposition 6.3.

Finally, we have

∞
∞
∞
M(s) = p1 (n, s) In (k) + p2 (n, s) En/β (t1 )
k=1 n=0 n=0
(2α)β s(βs−nλ)n−1
where p1 (n, s) = β n+2 n!
.
Equations (23), (24), (31), and (32) are the main results of this section.
7. Mean deviations and Bonferroni and Lorenz curves

The mean deviations of X about the mean, δ1 = E|X − μ1 |, and about the median, δ2 =
E|X − M|, used frequently as measures of dispersion, can be expressed as
δ1 = 2 μ1 F (μ1 ) − 2 mX(1) (μ1 ), δ2 = μ1 − 2 mX(1) (M)
where M = Q(0.5) is the median of X obtained from (10) at u = 0.5 and the quantities μ1
and mX(1) (z) can be evaluated numerically from (17) and (18), respectively.
The first incomplete moment can be applied to obtain the Bonferroni and Lorenz curves,
which are useful in several fields. The Bonferroni and Lorenz curves are defined, respectively,
by
mX(1) (q)
B(π ) = , L(π ) = π B(π )
π μ1
where q = Q(π ) is evaluated from (10) for 0 < π < 1.
From Proposition 6.1, we obtain the following expansion for the Bonferroni curve.
αλ )β eβ
Corollary 7.1. For λ > 0 and 0 < π ≤ e−( β , the Bonferroni curve can be expanded as
1
∞
1− n
B(π ) =
an − log π β En/β − log π
π μ1 n=1
where an is given by (20) for r = 1.

Proof. From Equation (10), we have

β αλ
q = Q(π ) = W0 1/β
λ β log π1
Thus, after some algebraic manipulation and using (2), we have
⎛ ⎞−β
β β W { αλ
}
α 0 1
β[log( π )]1/β αλ
e −λq
=⎝ ⎠ exp −β W0 1/β = − log π
q αλ β log 1 π
Finally, from Equation (23), we obtain

1
∞
1 (1) n
B(π ) =
m (q) =
an (− log π )1− β En/β(− log π ) (33)
π μ1 X
π μ1 n=1
β
where an is given by (20) for r = 1. This expansion holds only for 0 < q ≤ λ
W0 (e−1 ), which
−( αλ β β
β ) e
is equivalent to 0 < π ≤ e .
Equation (33) is the main result of this section.
8. Order statistics
Let X(1) ≤ X(2) ≤ · · · ≤ X(n) be the order statistics of a random sample of size n from the
distribution F (x). Then, for m = 1, 2, . . . , n, the pdf of the mth order statistic, X(m) , is given
by
f (m) (x) = K F (x)m−1 [1 − F (x)]n−m f (x)
where K = n!/[(m − 1)! (n − m)!]. The cdf of X(m) is given by

n
n
F(m) (x) = F j (x) [1 − F (x)]n− j
j=m
j
In particular, the cdfs of X(n) and X(1) are given, respectively, by
F(n) (x) = F n (x), F(1) (x) = 1 − [1 − F (x)]n (34)
Let Q(m) (u) be (for 0 < u < 1) the qf of X(m) . Then, we obtain from (34)
Q(n) (u) = Q(u1/n ), Q(1) (u) = Q[1 − (1 − u)1/n ] (35)
where Q(·) is the qf of X. Thus, from (10) and (35), we can write the qfs of X(n) and X(1) in
closed form in terms of the Lambert W function.
It is possible, when μr < ∞, to obtain an expression for the rth ordinary moment of the
order statistics using a result given by Barakat and Abdelkader (2004) for the case of i.i.d.
random variables.
Thus, if μr < ∞, we can express the rth moment of the mth order statistic X(m) as (Silva
et al., 2010)

(r)
r n
j−1 n
μ(m) = E X(m) = (−1) j−n+m−1
I j (r)
j=n−m+1
n−m j
∞
where I j (r) = r 0 xr−1 [1 − F (x)] j dx.
In particular, for the MF distribution, we obtain

n ∞
j−1 n α β −λx j
μ(r)
(m) =r (−1) j−n+m−1
xr−1 1 − e−( x ) e dx
j=n−m+1
n−m j 0
where the last integral can be evaluated numerically.
9. Maximum likelihood estimation

Several approaches for parameter estimation were proposed in the statistical literature but the
maximum likelihood method is the most commonly employed. The MLEs enjoy desirable
properties for constructing confidence intervals. In this section, we consider the estimation
of the parameters of the MF distribution by this method. Let x = (x1 , . . . , xn ) be a sample
of size n from X ∼ MF(α, β, λ) and let θ = (α, β, λ) be the parameter vector. The log-
likelihood for the sample x, denoted by f (θ; x), is given by

n
n
n
n
e−λxi
β
f (θ; x) = n β log(α) − (β + 1) log(xi ) + log(β + λ xi ) − λ xi − α
i=1 i=1 xiβ i=1 i=1
(36)
The MLE θ̂ of θ can be obtained by maximizing (36) directly by using the
SAS (PROC NLMIXED), R (optim and MaxLik functions), and Ox program (sub-
routine MaxBFGS). Details for fitting univariate distributions using maximum likeli-
hood in R for censored or non censored data can be obtained at http://www.inside-
r.org/packages/cran/fitdistrplus/docs/mledist.
Alternatively, we can obtain the components of the score vector Uθ = (Uα , Uβ , Uλ ) and
set them to zero. They are given by
∂ nβ e−λxi n
Uα = f (θ; x) = − β α β−1 β
(37)
∂α α i=1 xi
∂ n 1
n
Uβ = f (θ; x) = n log(α) − log(xi ) +
∂β i=1 i=1
β + λxi

n
e−λxi
n
e−λxi log(xi )
β β
− α log(α) +α
i=1 xiβ i=1 xiβ
∂ n
xi n
e−λxi
n
Uλ = f (θ; x) = + αβ β−1
− xi (38)
∂λ i=1
β + λxi i=1 xi i=1
The MLE θ̂ = (α̂, β̂, λ̂) can be determined by setting Uα = Uβ = Uλ = 0 and by solving these
equations simultaneously. Because they cannot be solved in closed form, numerical iterative
methods, such as Newton–Raphson type algorithms, can be applied.
a
Under general regularity conditions, we have (θ̂ − θ) ∼ N3 (0, K(θ)−1 ), where K(θ) is the
a
3 × 3 expected information matrix and ∼ denotes the asymptotic distribution. For n large,
K(θ) can be approximated by the observed information matrix. This normal approximation
for the MLE θ̂ can be used for constructing approximate confidence intervals and for testing
hypotheses on the parameters α, β, and λ.
In many cases, it is of interest to perform inference about some parameters of the model
by assuming that the remaining parameters are known.
Proposition 9.1. Let x = (x1 , . . . , xn ) be a sample of size n from X ∼ MF(α, β, λ), with log-
likelihood for θ given by (36). Then
a) If β and λ are known, then the MLE of α always exists and is unique, and is given by
−1/β
1 e−λxi
n
α̂ =
n i=1 xiβ
b) Assume α and β known and let x(n) = max{x1 , . . . , xn }. If α > x(n) , then the MLE of λ
exists and is unique.
Proof. Suppose β and λ are known. From (37) and considering that α, β > 0 and n > 0, we
have
−1/β
1 e−λxi
n
Uα = 0 ⇐⇒ α = (39)
n i=1 xiβ
Differentiating Uα with respect to α, we obtain
nβ e−λxi n
Uαα = − 2 − β(β − 1)α β−2 β
α i=1 xi
To see that the critical point given in (39) is a point of maximum, it has to satisfy Uαα < 0.
But
1 e−λxi
n
−β
Uαα < 0 ⇐⇒ α > (1 − β )
n i=1 xiβ
Since the critical point clearly satisfies this condition, we conclude that the MLE of α always
exists and is unique, and is given by (39). It proves (a).
To prove (b), suppose α and β are known. Differentiating Uλ with respect to λ, we obtain

n
xi α β e−λxi
Uλλ = − + β−2
i=1
(β + λxi )2 xi
Since each term in the above sum is positive, then Uλλ < 0. Further, from (38), we have

n
lim Uλ = − xi < 0 (40)
λ→∞
i=1
and
n α β − xiβ
n
lim Uλ = + (41)
λ→0 β i=1 xiβ−1
Thus, if α > x(n) , then limλ→0 Uλ > 0, which ensures the existence and uniqueness of the MLE
of λ.
Conditions for the existence of the MLE of β, given that α and λ are known, are much more
difficult to obtain and, therefore, are omitted from the above result.
Suppose that the parameter vector is partitioned as θ = (ψ
1 , ψ 2 ) , where dim(ψ 1 ) +
dim(ψ2 ) = dim(θ). The likelihood ratio (LR) statistic for testing the null hypothesis H0 :
ψ1 = ψ1(0) against the alternative hypothesis H1 : ψ1 = ψ1(0) is given by LR = 2 { f (θ̂) −

f (θ̃)}, where θ̂ = (ψ̂1 , ψ̂2 ) , θ̃ = (ψ1(0) , ψ̃2 ) , ψ̂i and ψ̃i are the MLEs under the alter-
native and null hypotheses, respectively, and ψ1(0) is a specified parameter vector. Based on
a
the first-order asymptotic theory, we know that LR ∼ χk2 , where k = dim(ψ1 ). Thus, we can
test submodels of the MF distribution and analyze how significant are the parameters tested
for modeling a particular data set.
10. Simulation study

In this section, we perform a Monte Carlo simulation experiment in order to evaluate the
behavior of the MLE θ̂ = (α̂, β̂, λ̂) in finite samples and estimate the relative bias and mean
squared error (MSE) for different sample sizes n. We consider 10,000 Monte Carlo replica-
tions and use the BFGS method with analytical derivatives for maximizing the log-likelihood
function (36). All computations are performed using the C programming language and the
GNU Scientific Library (version 2.1).
The results, given in Table 1, reveal that the relative bias and MSE values decrease when n
increases. The values in this table also reveal that the relative bias and MSE for λ̂ increase as
the value of β increases. We can also note that the relative bias does not exceed, in absolute
value, 0.3. Further, it can be noted in Table 1 that the parameter β was underestimated in some
cases (negative relative bias).
Table . Relative bias and MSE values of the MLE θ̂ = (α̂, β̂, λ̂).
Relative bias MSE
α β λ n α̂ β̂ λ̂ α̂ β̂ λ̂
. . .  . 0.018 . . . .

 . 0.013 . . . .
 . 0.006 . . . .
.  . 0.023 . . . .
 . 0.017 . . . .
 . 0.008 . . . .
. .  . −0.003 . . . .
 . −0.002 . . . .
 . −0.002 . . . .
.  . 0.001 . . . .
 . 0.001 . . . .
 . 0.000 . . . .
. .  . −0.039 . . . .
 . −0.025 . . . .
 . −0.012 . . . .
.  . −0.033 . . . .

 . −0.019 . . . .
 . −0.009 . . . .
. . .  . 0.034 . . . .
 . 0.021 . . . .
 . 0.009 . . . .
.  . 0.042 . . . .
 . 0.028 . . . .
 . 0.012 . . . .
. .  . 0.004 . . . .
 . 0.002 . . . .
 . 0.000 . . . .
.  . 0.014 . . . .
 . 0.009 . . . .
 . 0.003 . . . .
. .  . −0.028 . . . .
 . −0.017 . . . .
 . −0.008 . . . .
.  . −0.019 . . . .
 . −0.011 . . . .
 . −0.005 . . . .
11. Application
In this section, the potentiality of the MF distribution is illustrated by means of one applica-
tion. We use a data set corresponding to 202 observations of plasma ferritin concentration in
athletes (Weisberg, 2005, Sec. 6.4) and fit the Fréchet, EF, MOF, and MF distributions to these
data. The data are also used by Alizadeh et al. (2015). All computations are performed using
the R software (version 3.0.2, AdequacyModel package).
For maximizing the log-likelihood function (36), we use the BFGS method with numerical
derivatives. Initial values of α0 , β0 , and λ0 for the BFGS method can be obtained by compar-
ing the histogram of the data with the shape of the density for different parameter values, to
using a package such as Mathematica or Maple. Alternatively, based on Proposition 9.1,
it is possible to obtain initial values for the MF distribution by taking α0 > x(n) and giv-
ing arbitrary positive values for β0 and λ0 . For purposes of comparison, we compute some
goodness-of-fit statistics: Akaike information criterion (AIC), Bayesian information criterion
(BIC), Hannan–Quinn information criterion (HQIC), Cramér–von Mises criterion (W*), and
Anderson–Darling criterion (A*) (Chen and Balakrishnan, 1995). In general, the smaller the
values of these statistics are, the better the fit is.
Table . MLEs and standard errors.

MLE
Distribution α̂ β̂ λ̂
Fréchet . (.) . (.) —

EF . (.) . (.) . (.)
MOF . (.) . (.) . (.)
MF . (.) . (.) . (.)
EW . (.) . (.) . (.)
Table . Goodness-of-fit statistics.

Statistic
Distribution AIC BIC HQIC W* A*
Fréchet . . . . .

EF . . . . .
MOF . . . . .

MF . . . . .
EW . . . . .
For completeness purposes, we also fit and include in the comparison the EW distribu-
tion (Mudholkar and Srivastava, 1993), since it is a widely used lifetime model. Its cdf and
pdf are given, respectively, by

x β λ βλ x β−1
x β λ−1 − x β
R(x) = 1 − e−( α ) , r(x) = 1 − e− ( α ) e (α )
α α
The MLEs are given in Table 2 with their standard errors in parentheses and the goodness-
of-fit values for the fitted distributions are listed in Table 3.
Since the Fréchet distribution is a submodel of the MF distribution, a comparison between
them can be conducted by considering the AIC, BIC, and HQIC statistics. However, since
the EW, EF, MOF, and MF distributions are non nested models, a comparison among them is
more appropriate by considering the W* and A* statistics. The figures in Table 3 reveal that the
MF distribution has the smallest values of the W* and A* statistics among the fitted models
and the smaller values of all statistics comparatively with the Fréchet distribution. Therefore,
we can conclude that the MF distribution gives the best fit to the current data. The plots in
Figure 6 display the Fréchet, EW, MOF, EF, and MF estimated densities. Based on these plots,
it is possible to assess the overall best fit of the MF and EW distributions.
A graphical analysis of the quality of fit can be assessed by means of Q-Q plots. So, in
Figure 7 are given Q-Q plots for all current distributions. From these plots, we can observe
that the MF distribution gives the best fit to the current data among the Fréchet, EF, and MOF
distributions, and a fit similar to that given by the EW distribution. This graphical analysis is
consistent with the quantitative analysis given by the goodness-of-fit statistics listed in Table 3.
To analyze how significant is the additional parameter λ of the MF distribution for mod-
eling the current data, we use the LR statistic, as discussed in Sec. 9, for testing the MF model
versus the Fréchet model. The results are given in Table 4. We note that the rejection of the
Table . LR test.
Models Hypotheses LR statistic p-Value
Fréchet vs. MF H0 : λ = 0 vs.H1 : λ > 0 . .

Figure . The Fréchet, EW, MOF, EF, and MF estimated densities.
Figure . Q-Q plots for the Fréchet, EF, MOF, and EW distributions (solid circles) vs. Q-Q plot for the MF dis-
tribution (open circles).
null hypothesis is significant. So, we have evidence of the potential need for the inclusion of
the parameter λ in the Fréchet distribution for modeling the current data.
12. Conclusions and final remarks

In this paper, we introduce a new three-parameter model, called the modified Fréchet dis-
tribution, to extend the Fréchet distribution. Using the Lambert W function, we study some
of its structural properties. We can generate random variates from the new distribution using
this function. We provide some plots for the density and hazard rate functions. We also obtain
explicit expressions for the qf, ordinary moments, generating function, and Bonferroni and
Lorenz curves for the new distribution. Moments of the order statistics also are investigated.
We obtain the MLEs for complete samples and perform a Monte Carlo simulation in order
to evaluate the behavior of these estimates in finite samples. We compare the performance of
the new model with other extended Fréchet distributions including the EW distribution by
using the classical goodness-of-fit statistics and Q-Q plots. The results confirm that the new
distribution is very appropriate for applications to real lifetime data.
Funding
This research was partially supported by CNPq and CAPES, Brazil.
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Communications in Statistics - Theory and Methods

ISSN: 0361-0926 (Print) 1532-415X (Online) Journal homepage: http://www.tandfonline.com/loi/lsta20

The modified Fréchet distribution and its

Claudio J. Tablada & Gauss M. Cordeiro

To link to this article: http://dx.doi.org/10.1080/03610926.2016.1239115

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Download by: [Claudio Tablada] Date: 14 November 2017, At: 07:43

The modified Fréchet distribution and its properties

ABSTRACT ARTICLE HISTORY

CONTACT Claudio J. Tablada cjtablada@yahoo.com.ar Departamento de Estatística, Universidade Federal de Pernam-

widely used lifetime model. Finally, Sec. 12 concludes the paper.

2. The Lambert W function

Figure . Real branches of the Lambert W function.

3. The new distribution

3.1. Hazard rate function

3.2. Generating random numbers

Applying W0 (·) in both sides and using (1) gives

Thus, we obtain the following result: if U ∼ U (0, 1), then

4. Shapes of the density and hazard rate functions

Corollary 4.3. Let x0 be the mode of f (x). Then

Figure . Plots of the pdf () for selected parameters.

Figure . Plots of the hrf () for selected parameters.

Figure . Plots of the skewness and kurtosis for selected parameters.

Proof. Letting t = ( αx )β e−λx and after some algebraic manipulation, we have

The generalized exponential-integral function is defined by (Chiccoli et al., 1990)

From the above proof, we obtain the following result.

Setting y = tan( 2βeπαλ

where yk = tan[πkβ ( e αβ λ )β−1 ]. Note that, for t ∈ (tk+1 , tk ), we have 2βt π

therefore, the above transformation is well defined.

Setting z = arctan(y), we have

where Eν (x) is defined in (22).

6.1. Generating function

Proposition 6.5. For λ > 0, an expression for M(s), s ≥ 0, is given by

and νk (t ) = ν(t ) I(tk+1 ,tk ) (t ).

eαλ β eαλ (1−β )β

where In (k) is given in Proposition 6.3.

7. Mean deviations and Bonferroni and Lorenz curves

where an is given by (20) for r = 1.

Finally, from Equation (23), we obtain

Equation (33) is the main result of this section.

where K = n!/[(m − 1)! (n − m)!]. The cdf of X(m) is given by

In particular, the cdfs of X(n) and X(1) are given, respectively, by

F(n) (x) = F n (x), F(1) (x) = 1 − [1 − F (x)]n (34)

Q(n) (u) = Q(u1/n ), Q(1) (u) = Q[1 − (1 − u)1/n ] (35)

where the last integral can be evaluated numerically.

9. Maximum likelihood estimation

Differentiating Uα with respect to α, we obtain

10. Simulation study

. . .  . 0.018 . . . .

.  . −0.033 . . . .

Table . MLEs and standard errors.

Fréchet . (.) . (.) —

Table . Goodness-of-ﬁt statistics.

Fréchet . . . . .

MOF . . . . .

Fréchet vs. MF H0 : λ = 0 vs.H1 : λ > 0 . .

Figure . The Fréchet, EW, MOF, EF, and MF estimated densities.

12. Conclusions and final remarks