Generalized extreme value distribution

In probability theory and statistics, the

Notation
generalized extreme value (GEV)
distribution[3] is a family of Parameters μ ∈ R — location,
continuous probability distributions σ > 0 — scale,
developed within extreme value ξ ∈ R — shape.
theory to combine the Gumbel, Support x ∈ [ μ − σ / ξ, +∞)   when ξ > 0,
Fréchet and Weibull families also
x ∈ (−∞, +∞)   when ξ = 0,
known as type I, II and III extreme
x ∈ (−∞, μ − σ / ξ ]   when ξ < 0.
value distributions. By the extreme
value theorem the GEV distribution is PDF
the only possible limit distribution of  
properly normalized maxima of a
sequence of independent and
identically distributed random where
variables. [4] Note that a limit
distribution needs to exist, which CDF   for x ∈ support
requires regularity conditions on the
tail of the distribution. Despite this, Mean
the GEV distribution is often used as
an approximation to model the
maxima of long (finite) sequences of
random variables.
where gk = Γ(1 − kξ),
In some fields of application the and is Euler’s constant.
generalized extreme value distribution Median
is known as the Fisher–Tippett
distribution, named after Ronald
Fisher and L. H. C. Tippett who Mode
recognised three different forms
outlined below. However usage of
this name is sometimes restricted to Variance
mean the special case of the Gumbel .
distribution. The origin of the
common functional form for all 3
distributions dates back to at least Skewness
Jenkinson, A. F. (1955),[5] though
allegedly[6] it could also have been
given by von Mises, R. (1936).[7] where is the sign function
and is the Riemann zeta function
Specification Ex.
kurtosis
Using the standardized variable
where the
Entropy
location parameter, can be any real
[1]
MGF
number, and is the scale CF [1]
parameter; the cumulative distribution
CVaR (ES)
function of the GEV distribution is
then

where is the lower

incomplete gamma function and

is the logarithmic integral

function.[2]

where the shape parameter, can be any real number. Thus, for , the expression is valid for
while for it is valid for In the first case, is the negative, lower end-
point, where is 0; in the second case, is the positive, upper end-point, where is 1. For the
second expression is formally undefined and is replaced with the first expression, which is the result of
taking the limit of the second, as in which case can be any real number.

In the special case of so and ≈ for whatever values and

might have.

The probability density function of the standardized distribution is

again valid for in the case and for in the case The density is zero
outside of the relevant range. In the case the density is positive on the whole real line.

Since the cumulative distribution function is invertible, the quantile function for the GEV distribution has
an explicit expression, namely

and therefore the quantile density function is

valid for and for any real

Summary statistics
Some simple statistics of the distribution are:

for
The skewness is for ξ>0

For ξ<0, the sign of the numerator is reversed.

The excess kurtosis is:

where , , and is the gamma function.

Link to Fréchet, Weibull and Gumbel families

The shape parameter governs the tail behavior of the distribution. The sub-families defined by ,
and correspond, respectively, to the Gumbel, Fréchet and Weibull families, whose cumulative
distribution functions are displayed below.

Gumbel or type I extreme value distribution ( )

Fréchet or type II extreme value distribution, if and

Reversed Weibull or type III extreme value distribution, if and

The subsections below remark on properties of these distributions.

Modification for minima rather than maxima

The theory here relates to data maxima and the distribution being discussed is an extreme value distribution
for maxima. A generalised extreme value distribution for data minima can be obtained, for example by
substituting (−x) for x in the distribution function, and subtracting from one: this yields a separate family of
distributions.

Alternative convention for the Weibull distribution

The ordinary Weibull distribution arises in reliability applications and is obtained from the distribution here
by using the variable , which gives a strictly positive support - in contrast to the use in the
extreme value theory here. This arises because the ordinary Weibull distribution is used in cases that deal
with data minima rather than data maxima. The distribution here has an addition parameter compared to the
usual form of the Weibull distribution and, in addition, is reversed so that the distribution has an upper
bound rather than a lower bound. Importantly, in applications of the GEV, the upper bound is unknown and
so must be estimated, while when applying the ordinary Weibull distribution in reliability applications the
lower bound is usually known to be zero.

Ranges of the distributions

Note the differences in the ranges of interest for the three extreme value distributions: Gumbel is unlimited,
Fréchet has a lower limit, while the reversed Weibull has an upper limit. More precisely, Extreme Value
Theory (Univariate Theory) describes which of the three is the limiting law according to the initial law X
and in particular depending on its tail.

Distribution of log variables

One can link the type I to types II and III in the following way: if the cumulative distribution function of
some random variable is of type II, and with the positive numbers as support, i.e. , then the
cumulative distribution function of is of type I, namely . Similarly, if the
cumulative distribution function of is of type III, and with the negative numbers as support, i.e.
, then the cumulative distribution function of is of type I, namely
.

Link to logit models (logistic regression)

Multinomial logit models, and certain other types of logistic regression, can be phrased as latent variable
models with error variables distributed as Gumbel distributions (type I generalized extreme value
distributions). This phrasing is common in the theory of discrete choice models, which include logit models,
probit models, and various extensions of them, and derives from the fact that the difference of two type-I
GEV-distributed variables follows a logistic distribution, of which the logit function is the quantile function.
The type-I GEV distribution thus plays the same role in these logit models as the normal distribution does
in the corresponding probit models.

Properties
The cumulative distribution function of the generalized extreme value distribution solves the stability
postulate equation. The generalized extreme value distribution is a special case of a max-stable distribution,
and is a transformation of a min-stable distribution.

Applications
The GEV distribution is widely used in the treatment of "tail risks" in fields ranging from
insurance to finance. In the latter case, it has been considered as a means of assessing
various financial risks via metrics such as value at risk.[8][9]
 However, the resulting shape parameters
have been found to lie in the range leading to
undefined means and variances, which
underlines the fact that reliable data analysis
is often impossible.[11]
In hydrology the GEV distribution is applied to
extreme events such as annual maximum
one-day rainfalls and river discharges.[12]
The blue picture, made with CumFreq,
illustrates an example of fitting the GEV
distribution to ranked annually maximum one-
day rainfalls showing also the 90%
confidence belt based on the binomial Fitted GEV probability distribution to monthly
distribution. The rainfall data are represented maximum one-day rainfalls in October, Surinam[10]
by plotting positions as part of the cumulative
frequency analysis.

Example for Normally distributed variables

Let be i.i.d. normally distributed random variables with mean 0 and variance 1. The Fisher–
Tippett–Gnedenko theorem tells us that , where

This allow us to estimate e.g. the mean of from the mean of the GEV distribution:

where is the Euler–

Mascheroni constant.

Related distributions
1. If then
2. If (Gumbel distribution) then

3. If (Weibull distribution) then

4. If then (Weibull distribution)

5. If (Exponential distribution) then
 6. If and then (see
Logistic distribution).
7. If and then (The sum is not a logistic
distribution). Note that .

Proofs

4. Let , then the cumulative distribution of is:

which is the cdf for .

5. Let , then the cumulative distribution of is:

which is the cumulative distribution of .

See also
Extreme value theory (univariate theory)
Fisher–Tippett–Gnedenko theorem
 Generalized Pareto distribution
German tank problem, opposite question of population maximum given sample maximum
Pickands–Balkema–De Haan theorem

References
1. Muraleedharan. G, C. Guedes Soares and Cláudia Lucas (2011). "Characteristic and
Moment Generating Functions of Generalised Extreme Value Distribution (GEV)". In Linda.
L. Wright (Ed.), Sea Level Rise, Coastal Engineering, Shorelines and Tides, Chapter-14, pp.
269–276. Nova Science Publishers. ISBN 978-1-61728-655-1
2. Norton, Matthew; Khokhlov, Valentyn; Uryasev, Stan (2019). "Calculating CVaR and bPOE
for common probability distributions with application to portfolio optimization and density
estimation" (http://uryasev.ams.stonybrook.edu/wp-content/uploads/2019/10/Norton2019_C
VaR_bPOE.pdf) (PDF). Annals of Operations Research. Springer. 299 (1–2): 1281–1315.
arXiv:1811.11301 (https://arxiv.org/abs/1811.11301). doi:10.1007/s10479-019-03373-1 (http
s://doi.org/10.1007%2Fs10479-019-03373-1). S2CID 254231768 (https://api.semanticschola
r.org/CorpusID:254231768). Retrieved 2023-02-27.
3. Weisstein, Eric W. "Extreme Value Distribution" (https://mathworld.wolfram.com/ExtremeValu
eDistribution.html). mathworld.wolfram.com. Retrieved 2021-08-06.
4. Haan, Laurens; Ferreira, Ana (2007). Extreme value theory: an introduction. Springer.
5. Jenkinson, Arthur F (1955). "The frequency distribution of the annual maximum (or minimum)
values of meteorological elements". Quarterly Journal of the Royal Meteorological Society.
81 (348): 158–171. Bibcode:1955QJRMS..81..158J (https://ui.adsabs.harvard.edu/abs/1955
QJRMS..81..158J). doi:10.1002/qj.49708134804 (https://doi.org/10.1002%2Fqj.4970813480
4).
6. Haan, Laurens; Ferreira, Ana (2007). Extreme value theory: an introduction. Springer.
7. von Mises, R. (1936). "La distribution de la plus grande de n valeurs". Rev. Math. Union
Interbalcanique 1: 141–160.
8. Moscadelli, Marco. "The modelling of operational risk: experience with the analysis of the
data collected by the Basel Committee." Available at SSRN 557214 (2004). (http://www.unal
med.edu.co/~ndgirald/Archivos%20Lectura/Archivos%20curso%20Riesgo%20Operativo/m
oscadelli%202004.pdf)
9. Guégan, D.; Hassani, B.K. (2014), "A mathematical resurgence of risk management: an
extreme modeling of expert opinions", Frontiers in Finance and Economics, 11 (1): 25–45,
SSRN 2558747 (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2558747)
10. CumFreq for probability distribution fitting [1] (https://www.waterlog.info/cumfreq.htm)
11. Kjersti Aas, lecture, NTNU, Trondheim, 23 Jan 2008 (http://citeseerx.ist.psu.edu/viewdoc/do
wnload?doi=10.1.1.523.6456&rep=rep1&type=pdf)
12. Liu, Xin; Wang, Yu (2022). "Quantifying annual occurrence probability of rainfall-induced
landslide at a specific slope" (https://linkinghub.elsevier.com/retrieve/pii/S0266352X220022
45). Computers and Geotechnics. 149: 104877. doi:10.1016/j.compgeo.2022.104877 (http
s://doi.org/10.1016%2Fj.compgeo.2022.104877).

Further reading
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas (1997). Modelling extremal
events for insurance and finance (https://books.google.com/books?id=BXOI2pICfJUC).
Berlin: Springer Verlag. ISBN 9783540609315.
 Leadbetter, M.R., Lindgren, G. and Rootzén, H. (1983). Extremes and related properties of
random sequences and processes. Springer-Verlag. ISBN 0-387-90731-9.
Resnick, S.I. (1987). Extreme values, regular variation and point processes. Springer-Verlag.
ISBN 0-387-96481-9.
Coles, Stuart (2001). An Introduction to Statistical Modeling of Extreme Values (https://book
s.google.com/books?id=2nugUEaKqFEC&pg=PP1). Springer-Verlag. ISBN 1-85233-459-2.

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