GumbelDistribution Class 
Namespace: Accord.Statistics.Distributions.Univariate
[SerializableAttribute] public class GumbelDistribution : UnivariateContinuousDistribution, IFittableDistribution<double>, IFittable<double>, IDistribution<double>, IDistribution, ICloneable
The GumbelDistribution type exposes the following members.
Name  Description  

GumbelDistribution 
Creates a new Gumbel distribution
with location zero and unit scale.
 
GumbelDistribution(Double, Double) 
Creates a new Gumbel distribution
with the given location and scale.

Name  Description  

Entropy 
Gets the entropy for this distribution.
(Overrides UnivariateContinuousDistributionEntropy.)  
Location 
Gets the distribution's location parameter mu (μ).
 
Mean 
Gets the mean for this distribution.
(Overrides UnivariateContinuousDistributionMean.)  
Median 
Gets the median for this distribution.
(Overrides UnivariateContinuousDistributionMedian.)  
Mode 
Gets the mode for this distribution.
(Overrides UnivariateContinuousDistributionMode.)  
Quartiles 
Gets the Quartiles for this distribution.
(Inherited from UnivariateContinuousDistribution.)  
Shape 
Gets the distribution's scale parameter beta (β).
 
StandardDeviation 
Gets the Standard Deviation (the square root of
the variance) for the current distribution.
(Inherited from UnivariateContinuousDistribution.)  
Support 
Gets the support interval for this distribution.
(Overrides UnivariateContinuousDistributionSupport.)  
Variance 
Gets the variance for this distribution.
(Overrides UnivariateContinuousDistributionVariance.) 
Name  Description  

Clone 
Creates a new object that is a copy of the current instance.
(Overrides DistributionBaseClone.)  
ComplementaryDistributionFunction 
Gets the complementary cumulative distribution function
(ccdf) for this distribution evaluated at point x.
This function is also known as the Survival function.
(Inherited from UnivariateContinuousDistribution.)  
CumulativeHazardFunction 
Gets the cumulative hazard function for this
distribution evaluated at point x.
(Overrides UnivariateContinuousDistributionCumulativeHazardFunction(Double).)  
DistributionFunction(Double) 
Gets the cumulative distribution function (cdf) for
this distribution evaluated at point x.
(Inherited from UnivariateContinuousDistribution.)  
DistributionFunction(Double, Double) 
Gets the cumulative distribution function (cdf) for this
distribution in the semiclosed interval (a; b] given as
P(a < X ≤ b).
(Inherited from UnivariateContinuousDistribution.)  
Equals  Determines whether the specified object is equal to the current object. (Inherited from Object.)  
Finalize  Allows an object to try to free resources and perform other cleanup operations before it is reclaimed by garbage collection. (Inherited from Object.)  
Fit(Double) 
Fits the underlying distribution to a given set of observations.
(Inherited from UnivariateContinuousDistribution.)  
Fit(Double, IFittingOptions) 
Fits the underlying distribution to a given set of observations.
(Inherited from UnivariateContinuousDistribution.)  
Fit(Double, Double) 
Fits the underlying distribution to a given set of observations.
(Inherited from UnivariateContinuousDistribution.)  
Fit(Double, Int32) 
Fits the underlying distribution to a given set of observations.
(Inherited from UnivariateContinuousDistribution.)  
Fit(Double, Double, IFittingOptions) 
Fits the underlying distribution to a given set of observations.
(Overrides UnivariateContinuousDistributionFit(Double, Double, IFittingOptions).)  
Fit(Double, Int32, IFittingOptions) 
Fits the underlying distribution to a given set of observations.
(Overrides UnivariateContinuousDistributionFit(Double, Int32, IFittingOptions).)  
Generate 
Generates a random observation from the current distribution.
(Inherited from UnivariateContinuousDistribution.)  
Generate(Int32) 
Generates a random vector of observations from the current distribution.
(Inherited from UnivariateContinuousDistribution.)  
Generate(Random) 
Generates a random observation from the current distribution.
(Inherited from UnivariateContinuousDistribution.)  
Generate(Int32, Double) 
Generates a random vector of observations from the current distribution.
(Inherited from UnivariateContinuousDistribution.)  
Generate(Int32, Random) 
Generates a random vector of observations from the current distribution.
(Inherited from UnivariateContinuousDistribution.)  
Generate(Int32, Double, Random) 
Generates a random vector of observations from the current distribution.
(Inherited from UnivariateContinuousDistribution.)  
GetHashCode  Serves as the default hash function. (Inherited from Object.)  
GetRange 
Gets the distribution range within a given percentile.
(Inherited from UnivariateContinuousDistribution.)  
GetType  Gets the Type of the current instance. (Inherited from Object.)  
HazardFunction 
Gets the hazard function, also known as the failure rate or
the conditional failure density function for this distribution
evaluated at point x.
(Overrides UnivariateContinuousDistributionHazardFunction(Double).)  
InnerComplementaryDistributionFunction 
Gets the complementary cumulative distribution function
(ccdf) for this distribution evaluated at point x.
This function is also known as the Survival function.
(Overrides UnivariateContinuousDistributionInnerComplementaryDistributionFunction(Double).)  
InnerDistributionFunction 
Gets the cumulative distribution function (cdf) for
this distribution evaluated at point x.
(Overrides UnivariateContinuousDistributionInnerDistributionFunction(Double).)  
InnerInverseDistributionFunction 
Gets the inverse of the cumulative distribution function (icdf) for
this distribution evaluated at probability p. This function
is also known as the Quantile function.
(Overrides UnivariateContinuousDistributionInnerInverseDistributionFunction(Double).)  
InnerLogProbabilityDensityFunction 
Gets the logprobability density function (pdf) for
this distribution evaluated at point x.
(Overrides UnivariateContinuousDistributionInnerLogProbabilityDensityFunction(Double).)  
InnerProbabilityDensityFunction 
Gets the probability density function (pdf) for
this distribution evaluated at point x.
(Overrides UnivariateContinuousDistributionInnerProbabilityDensityFunction(Double).)  
InverseDistributionFunction 
Gets the inverse of the cumulative distribution function (icdf) for
this distribution evaluated at probability p. This function
is also known as the Quantile function.
(Inherited from UnivariateContinuousDistribution.)  
LogCumulativeHazardFunction 
Gets the log of the cumulative hazard function for this
distribution evaluated at point x.
(Inherited from UnivariateContinuousDistribution.)  
LogProbabilityDensityFunction 
Gets the logprobability density function (pdf) for
this distribution evaluated at point x.
(Inherited from UnivariateContinuousDistribution.)  
MemberwiseClone  Creates a shallow copy of the current Object. (Inherited from Object.)  
ProbabilityDensityFunction 
Gets the probability density function (pdf) for
this distribution evaluated at point x.
(Inherited from UnivariateContinuousDistribution.)  
QuantileDensityFunction 
Gets the first derivative of the
inverse distribution function (icdf) for this distribution evaluated
at probability p.
(Inherited from UnivariateContinuousDistribution.)  
ToString 
Returns a String that represents this instance.
(Inherited from DistributionBase.)  
ToString(IFormatProvider) 
Returns a String that represents this instance.
(Inherited from DistributionBase.)  
ToString(String) 
Returns a String that represents this instance.
(Inherited from DistributionBase.)  
ToString(String, IFormatProvider) 
Returns a String that represents this instance.
(Overrides DistributionBaseToString(String, IFormatProvider).) 
Name  Description  

HasMethod 
Checks whether an object implements a method with the given name.
(Defined by ExtensionMethods.)  
IsEqual  Compares two objects for equality, performing an elementwise comparison if the elements are vectors or matrices. (Defined by Matrix.)  
ToT 
Converts an object into another type, irrespective of whether
the conversion can be done at compile time or not. This can be
used to convert generic types to numeric types during runtime.
(Defined by ExtensionMethods.) 
In probability theory and statistics, the Gumbel distribution is used to model the distribution of the maximum (or the minimum) of a number of samples of various distributions. Such a distribution might be used to represent the distribution of the maximum level of a river in a particular year if there was a list of maximum values for the past ten years. It is useful in predicting the chance that an extreme earthquake, flood or other natural disaster will occur.
The potential applicability of the Gumbel distribution to represent the distribution of maxima relates to extreme value theory which indicates that it is likely to be useful if the distribution of the underlying sample data is of the normal or exponential type.
The Gumbel distribution is a particular case of the generalized extreme value distribution (also known as the FisherTippett distribution). It is also known as the logWeibull distribution and the double exponential distribution (a term that is alternatively sometimes used to refer to the Laplace distribution). It is related to the Gompertz distribution[citation needed]: when its density is first reflected about the origin and then restricted to the positive half line, a Gompertz function is obtained.
In the latent variable formulation of the multinomial logit model — common in discrete choice theory — the errors of the latent variables follow a Gumbel distribution. This is useful because the difference of two Gumbeldistributed random variables has a logistic distribution.
The Gumbel distribution is named after Emil Julius Gumbel (1891–1966), based on his original papers describing the distribution.
References:
The following example shows how to create and test the main characteristics of an Gumbel distribution given its location and scale parameters:
var gumbel = new GumbelDistribution(location: 4.795, scale: 1 / 0.392); double mean = gumbel.Mean; // 6.2674889410753387 double median = gumbel.Median; // 5.7299819402593481 double mode = gumbel.Mode; // 4.7949999999999999 double var = gumbel.Variance; // 10.704745853604138 double cdf = gumbel.DistributionFunction(x: 3.4); // 0.17767760424788051 double pdf = gumbel.ProbabilityDensityFunction(x: 3.4); // 0.12033954114322486 double lpdf = gumbel.LogProbabilityDensityFunction(x: 3.4); // 2.1174380222001519 double ccdf = gumbel.ComplementaryDistributionFunction(x: 3.4); // 0.82232239575211952 double icdf = gumbel.InverseDistributionFunction(p: cdf); // 3.3999999904866245 double hf = gumbel.HazardFunction(x: 1.4); // 0.03449691276402958 double chf = gumbel.CumulativeHazardFunction(x: 1.4); // 0.022988793482259906 string str = gumbel.ToString(CultureInfo.InvariantCulture); // Gumbel(x; μ = 4.795, β = 2.55)