Parameters : with a location parameter and a scale parameter .
for ,
,
, where is Euler’s constant,
.
We write .
Transformations: If has a distribution, then has an extreme value distribution with location parameter and scale parameter . In particular, if is -distributed, i.e. is -distributed, then has an extreme value distribution with location parameter and scale parameter .
Usage: Used to model extreme events such as the height of the biggest wave in a day or the highest or lowest temperature or rainfall amount in a month.
Let and be iid with distributions. Show that also has a Gumbel distribution and find its parameters.
Solution. First note that if and only if and , so
which is the cdf of a distribution.