A comparative review of generalizations of the Gumbel extreme value distribution with an application to wind speed data
| Autor: | Silvia Ferrari, Eliane C. Pinheiro |
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| Rok vydání: | 2015 |
| Předmět: |
Statistics and Probability
Anderson–Darling test Applied Mathematics 0208 environmental biotechnology 02 engineering and technology Type-1 Gumbel distribution DISTRIBUIÇÕES DE EXTREMOS 01 natural sciences 020801 environmental engineering 010104 statistics & probability Gumbel distribution Modeling and Simulation Statistics Fisher–Tippett–Gnedenko theorem Generalized extreme value distribution Fréchet distribution Statistical physics 0101 mathematics Statistics Probability and Uncertainty Extreme value theory L-moment Mathematics |
| Zdroj: | Repositório Institucional da USP (Biblioteca Digital da Produção Intelectual) Universidade de São Paulo (USP) instacron:USP |
| Popis: | The generalized extreme value distribution and its particular case, the Gumbel extreme value distribution, are widely applied for extreme value analysis. The Gumbel distribution has certain drawbacks because it is a non-heavy-tailed distribution and is characterized by constant skewness and kurtosis. The generalized extreme value distribution is frequently used in this context because it encompasses the three possible limiting distributions for a normalized maximum of infinite samples of independent and identically distributed observations. However, the generalized extreme value distribution might not be a suitable model when each observed maximum does not come from a large number of observations. Hence, other forms of generalizations of the Gumbel distribution might be preferable. Our goal is to collect in the present literature the distributions that contain the Gumbel distribution embedded in them and to identify those that have flexible skewness and kurtosis, are heavy-tailed and could be comp... |
| Databáze: | OpenAIRE |
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