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The general extreme value distribution is a continuous probability distribution . It plays an outstanding role in extreme value theory , as it summarizes the essential possible distributions of extreme values in a sample in one representation.
definition
A continuous random variable satisfies a Fisher-Tippett distribution with the parameters , and , if it is the probability density
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owns.
Double exponential distribution
The special case with a distribution function is used as a double exponential distribution
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designated.
Relationship to other distributions
The extreme value distribution goes with the parameter to the Fisher-Tippett distribution or Gumbel distribution .
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See also
Individual evidence
^ Hans-Otto Georgii: Stochastics . Introduction to probability theory and statistics. 4th edition. Walter de Gruyter, Berlin 2009, ISBN 978-3-11-021526-7 , doi : 10.1515 / 9783110215274 .
Discrete univariate distributions
Continuous univariate distributions
Multivariate distributions
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