Syntax

Description

parmhat = gevfit(X)returns maximum likelihood estimates of the parameters for the generalized extreme value (GEV) distribution given the data in X.parmhat(1)is the shape parameter,k,parmhat(2)is the scale parameter,sigma, andparmhat(3)is the location parameter,mu.

[parmhat,parmci] = gevfit(X)returns 95% confidence intervals for the parameter estimates.

[parmhat,parmci] = gevfit(X,alpha)returns100(1-alpha)% confidence intervals for the parameter estimates.

[...] = gevfit(X,alpha,options)specifies control parameters for the iterative algorithm used to compute ML estimates. This argument can be created by a call tostatset. Seestatset('gevfit')for parameter names and default values. Pass in[]foralphato use the default values.

Whenk < 0, the GEV is the type III extreme value distribution. Whenk > 0, the GEV distribution is the type II, or Frechet, extreme value distribution. Ifwhas a Weibull distribution as computed by thewblfitfunction, then-whas a type III extreme value distribution and1/whas a type II extreme value distribution. In the limit askapproaches 0, the GEV is the mirror image of the type I extreme value distribution as computed by theevfitfunction.

The mean of the GEV distribution is not finite whenk≥1, and the variance is not finite whenk≥1/2. The GEV distribution is defined fork*(X-mu)/sigma > -1.

References

Extended Capabilities

版本历史

See Also

mle|gevlike|gevpdf|gevcdf|gevinv|gevstat|gevrnd