scipy.stats.genextreme

scipy.stats.genextreme = <scipy.stats._continuous_distns.genextreme_gen object>

A generalized extreme value continuous random variable.

As an instance of the rv_continuous class, genextreme object inherits from it a collection of generic methods (see below for the full list), and completes them with details specific for this particular distribution.

See also

gumbel_r

Notes

For \(c=0\), genextreme is equal to gumbel_r. The probability density function for genextreme is:

\[\begin{split}f(x, c) = \begin{cases} \exp(-\exp(-x)) \exp(-x) &\text{for } c = 0\\ \exp(-(1-c x)^{1/c}) (1-c x)^{1/c-1} &\text{for } x \le 1/c, c > 0 \end{cases}\end{split}\]

Note that several sources and software packages use the opposite convention for the sign of the shape parameter \(c\).

genextreme takes c as a shape parameter for \(c\).

The probability density above is defined in the “standardized” form. To shift and/or scale the distribution use the loc and scale parameters. Specifically, genextreme.pdf(x, c, loc, scale) is identically equivalent to genextreme.pdf(y, c) / scale with y = (x - loc) / scale.

Examples

>>> from scipy.stats import genextreme
>>> import matplotlib.pyplot as plt
>>> fig, ax = plt.subplots(1, 1)

Calculate a few first moments:

>>> c = -0.1
>>> mean, var, skew, kurt = genextreme.stats(c, moments='mvsk')

Display the probability density function (pdf):

>>> x = np.linspace(genextreme.ppf(0.01, c),
...                 genextreme.ppf(0.99, c), 100)
>>> ax.plot(x, genextreme.pdf(x, c),
...        'r-', lw=5, alpha=0.6, label='genextreme pdf')

Alternatively, the distribution object can be called (as a function) to fix the shape, location and scale parameters. This returns a “frozen” RV object holding the given parameters fixed.

Freeze the distribution and display the frozen pdf:

>>> rv = genextreme(c)
>>> ax.plot(x, rv.pdf(x), 'k-', lw=2, label='frozen pdf')

Check accuracy of cdf and ppf:

>>> vals = genextreme.ppf([0.001, 0.5, 0.999], c)
>>> np.allclose([0.001, 0.5, 0.999], genextreme.cdf(vals, c))
True

Generate random numbers:

>>> r = genextreme.rvs(c, size=1000)

And compare the histogram:

>>> ax.hist(r, density=True, histtype='stepfilled', alpha=0.2)
>>> ax.legend(loc='best', frameon=False)
>>> plt.show()

Methods

rvs(c, loc=0, scale=1, size=1, random_state=None)	Random variates.
pdf(x, c, loc=0, scale=1)	Probability density function.
logpdf(x, c, loc=0, scale=1)	Log of the probability density function.
cdf(x, c, loc=0, scale=1)	Cumulative distribution function.
logcdf(x, c, loc=0, scale=1)	Log of the cumulative distribution function.
sf(x, c, loc=0, scale=1)	Survival function (also defined as 1 - cdf, but sf is sometimes more accurate).
logsf(x, c, loc=0, scale=1)	Log of the survival function.
ppf(q, c, loc=0, scale=1)	Percent point function (inverse of cdf — percentiles).
isf(q, c, loc=0, scale=1)	Inverse survival function (inverse of sf).
moment(n, c, loc=0, scale=1)	Non-central moment of order n
stats(c, loc=0, scale=1, moments=’mv’)	Mean(‘m’), variance(‘v’), skew(‘s’), and/or kurtosis(‘k’).
entropy(c, loc=0, scale=1)	(Differential) entropy of the RV.
fit(data, c, loc=0, scale=1)	Parameter estimates for generic data.
expect(func, args=(c,), loc=0, scale=1, lb=None, ub=None, conditional=False, **kwds)	Expected value of a function (of one argument) with respect to the distribution.
median(c, loc=0, scale=1)	Median of the distribution.
mean(c, loc=0, scale=1)	Mean of the distribution.
var(c, loc=0, scale=1)	Variance of the distribution.
std(c, loc=0, scale=1)	Standard deviation of the distribution.
interval(alpha, c, loc=0, scale=1)	Endpoints of the range that contains alpha percent of the distribution