Function File: X = gevinv (P, k, sigma, mu)

Compute a desired quantile (inverse CDF) of the generalized extreme value (GEV) distribution.

Arguments

• P is the desired quantile of the GEV distribution. (Between 0 and 1.)
• k is the shape parameter of the GEV distribution. (Also denoted gamma or xi.)
• sigma is the scale parameter of the GEV distribution. The elements of sigma must be positive.
• mu is the location parameter of the GEV distribution.

The inputs must be of common size, or some of them must be scalar.

Return values

• X is the value corresponding to each quantile of the GEV distribution

References

1. Rolf-Dieter Reiss and Michael Thomas. Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields. Chapter 1, pages 16-17, Springer, 2007.
2. J. R. M. Hosking (2012). L-moments. R package, version 1.6. URL: http://CRAN.R-project.org/package=lmom.

See also: gevcdf, gevfit, gevlike, gevpdf, gevrnd, gevstat.

Package: statistics