Compute the probability density function of the generalized extreme value (GEV) distribution.
Arguments
- x is the support.
- 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
- y is the probability density of the GEV distribution at each
element of x and corresponding parameter values.
Examples
x = 0:0.5:2.5;
sigma = 1:6;
k = 1;
mu = 0;
y = gevpdf (x, k, sigma, mu)
y = gevpdf (x, k, 0.5, mu)
References
- 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.
See also: gevcdf, gevfit, gevinv, gevlike, gevrnd, gevstat.