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GRGEV Procedure

Generates deviates from a Generalized Extreme Value distribution. (D.B. Baird)

Options

NVALUES = scalar Number of values to simulate, default 1
MU = scalar Threshold parameter for the distribution, default 0
SIGMA = scalar Scale parameter for the distribution, default 1
ETA = scalar Shape parameter for the distribution, default 0
SEED = scalar Seed for random number generation, default 0 – use the system clock

Parameter

NUMBER = variate or scalar Random deviates generated from the specified distribution

Options: NVALUES, MU, SIGMA, ETA, SEED

Parameters: NUMBER

Description

GRGEV generates deviates from a Generalized Extreme Value distribution using the parameters specified in the MU, SIGMA and ETA options. The number of values in the result is specified using the NVALUES option, and the deviates are returned in the NUMBER parameter. If you want repeatable results, set the SEED option to a large positive value, otherwise a different random set will be generated on each call.

Method

The function for the CDF of the GEV distribution is used to transform random uniform deviates to random GEV deviates.

Action of Restrict

Any restrictions are ignored.

Reference

Coles, Stuart (2001). An introduction to statistical modelling of extreme values. Springer-Verlag: London.

Example

GRGEV [NVALUES=100;MU=10;SIGMA=2;ETA=0;SEED=5567] X

See also

Updated on March 26, 2019

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