Generalised Extreme Value Distribution

Makes a Generalised Extreme Value (GEV) distribution, which is the limiting distribution of the maximum.

Usage

dst_gev(location, scale, shape)

Arguments

location

Location parameter; single numeric.

scale

Scale parameter; single positive numeric.

shape

Shape parameter; single numeric. This is also the extreme value index, so that shape > 0 is heavy tailed, and shape < 0 is short-tailed.

Value

A GEV distribution.

Examples

# Short-tailed example
short <- dst_gev(0, 1, -1)
range(short)
#> [1] -Inf    1
mean(short)
#> [1] 0

# Heavy-tailed example
heavy <- dst_gev(0, 1, 1)
range(heavy)
#> [1]  -1 Inf
mean(heavy)
#> [1] Inf

# Light-tailed example (a Gumbel distribution)
light <- dst_gev(0, 1, 0)
range(light)
#> [1] -Inf  Inf
mean(light)
#> [1] 0.5772157