The distribution function of a random variable X
distributed according to the Gumbel's maximum extreme value distribution is a continuous function, F(x) = P(X < x)
, given by
The corresponding probability density function, f(x) = dF(x)/dx
|f(x) = |
|e -x e - e -x || for - ∞ < x < ∞|
- double Gumbels_Maximum_Distribution( double x )
This function returns F(x) where F(x) is described above.
- double Gumbels_Maximum_Density( double x )
This function returns f(x) where f(x) is described above.
- void Gumbels_Maximum_Distribution_Tables( double start, double delta, int nsteps, double *density, double* distribution_function )
This function returns f(x) where f(x) is described above in the array density, i.e. density[i] = f(xi) where xi = start + i delta, i = 0,...,nsteps and returns F(x) where F(x) is described above in the array distribution_function, i.e. distribution_function[i] = F(xi) where xi = start + i delta, i = 0,...,nsteps. Note that density must be declared double density[N] where N ≥ nsteps + 1 in the calling routine and similarly the distribution_function must be declared double distribution_function[N] where
N ≥ nsteps + 1 in the calling routine.
source code is available for these routines: