|
The Fréchet distribution is a special case of the generalized extreme value distribution. It has the cumulative distribution function

where a>0 is a shape parameter. It can be generalised to include a location parameter m and a scale parameter s>0 with the cumulative distribution function

Named for Maurice Fréchet who wrote a related paper in 1927, further work was done by Fisher and Tippett in 1928 and by Gumbel in 1958
See also
External links
Publications
- Fréchet, M., (1927). "Sur la loi de probabilité de l'écart maximum." Ann. Soc. Polon. Math. 6, 93.
- Fisher, R.A., Tippett, L.H.C., (1928). "Limiting forms of the frequency distribution of the largest and smallest member of a sample." Proc. Cambridge Philosophical Society 24:180-190.
- Gumbel, E.J. (1958). "Statistics of Extremes." Columbia University Press, New York.
| |