Generalized extreme value distribution

The parametrization used here is the same as that of the wikipedia article “Generalized extreme value distribution” (https://en.wikipedia.org/wiki/Generalized_extreme_value_distribution).

xi is a shape parameter, mu is a location parameter, and sigma is a scale parameter.

Note that the parameter xi used here has the opposite sign of the corresponding shape parameter c in scipy.stats.genextreme.

mpsci.distributions.genextreme.cdf(x, xi, mu=0, sigma=1)

Cumulative distribution function of the generalized extreme value distribution.

mpsci.distributions.genextreme.entropy(xi, mu=0, sigma=1)

Differential entropy of the generalized extreme value distribution.

mpsci.distributions.genextreme.invcdf(p, xi, mu=0, sigma=1)

Inverse of the CDF of the generalized extreme value distribution.

mpsci.distributions.genextreme.invsf(p, xi, mu=0, sigma=1)

Inverse of the survival function of the generalized extreme value dist.

mpsci.distributions.genextreme.kurtosis(xi, mu=0, sigma=1)

Excess kurtosis of the generalized extreme value distribution.

mpsci.distributions.genextreme.logcdf(x, xi, mu=0, sigma=1)

Natural logarithm of the CDF of the generalized extreme value distribution.

mpsci.distributions.genextreme.logpdf(x, xi, mu=0, sigma=1)

Natural logarithm of the PDF of the generalized extreme value distribution.

mpsci.distributions.genextreme.logsf(x, xi, mu=0, sigma=1)

Natural log of the survival function of the gen. extreme value distribution.

mpsci.distributions.genextreme.mean(xi, mu=0, sigma=1)

Mean of the generalized extreme value distribution.

mpsci.distributions.genextreme.noncentral_moment(n, xi, mu=0, sigma=1)

Noncentral moment of the generalized extreme value distribution.

The value is also known as the raw moment.

mpsci.distributions.genextreme.pdf(x, xi, mu=0, sigma=1)

Probability density function of the generalized extreme value distribution.

mpsci.distributions.genextreme.sf(x, xi, mu=0, sigma=1)

Survival function of the generalized extreme value distribution.

mpsci.distributions.genextreme.skewness(xi, mu=0, sigma=1)

Skewness of the generalized extreme value distribution.

mpsci.distributions.genextreme.var(xi, mu=0, sigma=1)

Variance of the generalized extreme value distribution.