StatsEValuePDF

StatsEValuePDF (x, µ, σ)

The StatsEValuePDF function returns the extreme-value (type I, Gumbel) probability distribution function

$$\displaystyle f(x ; \mu, \sigma)=\frac{1}{\sigma} \exp \left(\frac{x-\mu}{\sigma}\right) \exp \left(-\exp \left(\frac{x-\mu}{\sigma}\right)\right),$$

where σ > 0. This is also known as the "minimum" form or distribution of the smallest extreme. To obtain the distribution of the largest extreme reverse the sign of σ.

See Also

Statistical Analysis, StatsEValueCDF, StatsInvEValueCDF, StatsGEVCDF, StatsGEVPDF