Resources

Generate Gumbel Distribution Random Variable

0

Hi there. What would be the easiest way to generate random variables following Gumbel Distribution in Gauss?

And how about truncated Gumbel Distribution?

Thanks.

Huihui

asked July 21, 2014

2 Answers

0

The easiest way to create Gumbel random numbers would be with the GAUSS function rndGumbel. rndGumbel uses the definition of the Gumbel distribution that corresponds to the minimum extreme. The expected value of the numbers generated by this function is:

E(x) = location - 0.5772*scale

the variance is:

Var(x) = (π2 * scale2)/6;
aptech
352
0

Thanks for your prompt reply.

What about truncated Gumbel? For example, Gumbel distribution with upper bound?

Huihui