The Fréchet distribution, also known as inverse Weibull distribution,[2][3] is a special case of the generalized extreme value distribution. It has the cumulative distribution function
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Fréchet
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shape. (Optionally, two more parameters) scale (default: ) location of minimum (default: ) |
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where α > 0 is a shape parameter. It can be generalised to include a location parameter m (the minimum) and a scale parameter s > 0 with the cumulative distribution function
Named for Maurice Fréchet who wrote a related paper in 1927,[4] further work was done by Fisher and Tippett in 1928 and by Gumbel in 1958.[5][6]
- If (Uniform distribution (continuous)) then
- If then
- If and then
- The cumulative distribution function of the Frechet distribution solves the maximum stability postulate equation
- If then its reciprocal is Weibull-distributed:
Muraleedharan, G.; Guedes Soares, C.; Lucas, Cláudia (2011). "Characteristic and moment generating functions of generalised extreme value distribution (GEV)". In Wright, Linda L. (ed.). Sea Level Rise, Coastal Engineering, Shorelines, and Tides. Nova Science Publishers. Chapter 14, pp. 269–276. ISBN 978-1-61728-655-1.
de Gusmão, Felipe R.S.; Ortega, Edwin M.M.; Cordeiro, Gauss M. (2011). "The generalized inverse Weibull distribution". Statistical Papers. 52 (3). Springer-Verlag: 591–619. doi:10.1007/s00362-009-0271-3. ISSN 0932-5026.
Gumbel, E. J. (1958). Statistics of Extremes. New York: Columbia University Press. OCLC 180577.
Lee, Se Yoon; Mallick, Bani (2021). "Bayesian Hierarchical Modeling: Application Towards Production Results in the Eagle Ford Shale of South Texas". Sankhya B. 84: 1–43. doi:10.1007/s13571-020-00245-8.
- Kotz, S.; Nadarajah, S. (2000). Extreme Value Distributions: Theory and applications. World Scientific. ISBN 1-86094-224-5.