Questions tagged [gumbel]

The Gumbel distribution (or generalized extreme-value distribution type I) is used in modeling of extrema.

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Joint probability distribution of some Gumbel differences

I would like your help to double check my derivations below involving the joint probability distribution of some Gumbel differences. Consider $K$ i.i.d. random variables $\epsilon_1,...,\epsilon_K$, ...
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fit a gumbel copula to 500 set generated random number

i have a question, of finding the tail coefficient of gumbel copula. I generated 500 set of random variable, with 4 different theta of 1, 1.5, 2 and 3. Then I fit them to gumbel copula with maximum ...
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Interpretation of a Gumbel distribution's results

I am using (essentially) the approach outlined in the paper "Statistical-based WCET estimation and validation" (http://drops.dagstuhl.de/opus/volltexte/2009/2291/pdf/Hansen.2291.pdf) to build a Gumbel ...
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Did I understand the usage of Gumbel-Softmax reparametrization correctly?

I am working on a deep learning model, which has a mixture of experts formulation like $\log p(y|x)=\log \sum_{z}p(y|z,x,\theta)p(z|x,\phi)$. So, each $p(y|z,x,\theta)$ is a deep learning classifier, ...
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How to derive joint CDF Gumbel distribution

If you have 3 random variables: $X$, $Y$, and $Z$ and they have independent Gumbel distribution. $A$, $B$ and $C$ are three discrete random variables that are functions of $X$, $Y$, and $Z$ as per the ...
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Gumbel Copula generation using nonparametric correlations like Kendall's tau

I have 2 different variates W,X. I want to compute Gumbel copula for these variates. I followed following steps for the same: 1. To compute kendall's tau I used R's package Kendall. From kendall's tau ...