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Fréchet distribution : ウィキペディア英語版
Fréchet distribution
|
cdf =e^)^} |
mean =\begin
\ m+s\Gamma\left(1-\frac\right) & \text \alpha>1 \\
\ \infty & \text
\end |
median =m+\frac\right)^|
variance = \begin
\ s^2\left(\Gamma\left(1-\frac\right)- \left(\Gamma\left(1-\frac\right)\right)^2\right) & \text \alpha>2 \\
\ \infty & \text
\end |
skewness = \begin
\ \frac\right)-3\Gamma\left(1-\frac \right)\Gamma\left(1-\frac \right)+2\Gamma^3\left(1-\frac \right)}\right)-\Gamma^2\left(1-\frac\right) \right)^3 }} & \text \alpha>3 \\
\ \infty & \text
\end |
g_k =|
kurtosis = \begin
\ -6+ \frac\right) -4\Gamma\left(1-\frac\right) \Gamma\left(1-\frac\right)+3 \Gamma^2\left(1-\frac \right)} \right) - \Gamma^2 \left(1-\frac\right) \right )^2} & \text \alpha>4 \\
\ \infty & \text
\end |
|
entropy = 1 + \frac + \gamma +\ln \left( \frac \right) , where \gamma is the Euler–Mascheroni constant.|
mgf = 〔 Note: Moment k exists if \alpha>k |
char = 〔 |
}}
The Fréchet distribution, also known as inverse Weibull distribution,〔〔 is a special case of the generalized extreme value distribution. It has the cumulative distribution function
:\Pr(X \le x)=e^ x>0.
where ''α'' > 0 is a shape parameter. It can be generalised to include a location parameter ''m'' (the minimum) and a scale parameter ''s'' > 0 with the cumulative distribution function
:\Pr(X \le x)=e^\right)^} \text x>m.
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.
==Characteristics==
The single parameter Fréchet with parameter \alpha has standardized moment
:\mu_k=\int_0^\infty x^k f(x)dx=\int_0^\infty t^}e^ \, dt,
(with t=x^) defined only for k<\alpha:
:\mu_k=\Gamma\left(1-\frac\right)
where \Gamma\left(z\right) is the Gamma function.
In particular:
* For \alpha>1 the expectation is E()=\Gamma(1-\tfrac)
* For \alpha>2 the variance is \text(X)=\Gamma(1-\tfrac)-\big(\Gamma(1-\tfrac)\big)^2.
The quantile q_y of order y can be expressed through the inverse of the distribution,
:q_y=F^(y)=\left(-\log_e y \right)^}.
In particular the median is:
:q_=(\log_e 2)^}.
The mode of the distribution is \left(\frac\right)^\frac.
Especially for the 3-parameter Fréchet, the first quartile is q_1= m+\frac)}}.
Also the quantiles for the mean and mode are:
:F(mean)=\exp \left( -\Gamma^ \left(1- \frac \right) \right)
:F(mode)=\exp \left( -\frac \right).

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
ウィキペディアで「Fréchet distribution」の詳細全文を読む



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