[Scipy-tickets] [SciPy] #1325: Shape parameter negated in genextreme (relative to R, MATLAB, Wikipedia)

SciPy Trac scipy-tickets@scipy....
Fri Nov 5 17:05:37 CDT 2010


#1325: Shape parameter negated in genextreme (relative to R, MATLAB, Wikipedia)
--------------------------+-------------------------------------------------
 Reporter:  hamishharvey  |       Owner:  somebody
     Type:  defect        |      Status:  new     
 Priority:  normal        |   Milestone:  0.9.0   
Component:  scipy.stats   |     Version:  0.8.0   
 Keywords:                |  
--------------------------+-------------------------------------------------
 The scipy implementation of genextreme appears to be defined in such a way
 that the shape parameter is the negated relative to its use in MATLAB and
 the R evd package. Compare the cumulative distribution function given in
 ticket 767:

 {{{
 F(x;c) = exp(-(1-c*x)**(1/c))
 }}}

 with that given in Wikipedia and recent slides[1] by Stuart Coles (author
 of the book referred to in that ticket):

 {{{
 F(x;c) = exp(-(1+c*x)**-(1/c))
 }}}

 The latter is consistent with the results from R. Scipy is differing from
 the most readily available documentation on GEV here, and while it may not
 be wrong it tripped me up and it has taken me a while to work out what is
 going on. A warning note in the documentation regarding the difference
 would be invaluable.

 .. [1]
 [http://www.google.co.uk/url?sa=t&source=web&cd=1&ved=0CBwQFjAA&url=http%3A%2F%2Fwww.cces.ethz.ch%2Fprojects%2Fhazri%2FEXTREMES%2Ftalks%2FcolesDavisonDavosJan08.pdf&rct=j&q=%22An%20Introduction%20to%20Statistical%20Modeling%20of%20Extreme%20Values%22%20coles%202000&ei=E0bUTM7vAqeR4gat0aidBA&usg=AFQjCNFaW81AT9W
 --MTyKsv7Aqpgel1KYw Statistical Modelling of Extreme Values (PDF)]

-- 
Ticket URL: <http://projects.scipy.org/scipy/ticket/1325>
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