MATLAB Examples

Compute the Generalized Extreme Value Distribution pdf

Generate examples of probability density functions for the three basic forms of the generalized extreme value distribution.

x = linspace(-3,6,1000);
y1 = gevpdf(x,-.5,1,0);
y2 = gevpdf(x,0,1,0);
y3 = gevpdf(x,.5,1,0);
plot(x,y1,'-', x,y2,'--', x,y3,':')
legend({'K < 0, Type III' 'K = 0, Type I' 'K > 0, Type II'})

Notice that for k > 0, the distribution has zero probability density for x such that $x < -\sigma/k + \mu$.

For k < 0, the distribution has zero probability density for $x > -\sigma/k + \mu$.

For k = 0, there is no upper or lower bound.