Generate Gumbel Distribution Random Variable

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

And how about truncated Gumbel Distribution?



2 Answers


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;

Thanks for your prompt reply.

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


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