[Scipy-tickets] [SciPy] #1325: Shape parameter negated in genextreme (relative to R, MATLAB, Wikipedia)
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Fri Nov 5 17:05:37 CDT 2010
#1325: Shape parameter negated in genextreme (relative to R, MATLAB, Wikipedia)
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Reporter: hamishharvey | Owner: somebody
Type: defect | Status: new
Priority: normal | Milestone: 0.9.0
Component: scipy.stats | Version: 0.8.0
Keywords: |
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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)]
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Ticket URL: <http://projects.scipy.org/scipy/ticket/1325>
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