The beta Gumbel distribution

DOI10.1155/S1024123X04403068MaRDI QIDQ2387474zbMATH OpenOpenAlexFDO

Authors Samuel Kotz, Saralees Nadarajah

Publication date 5 September 2005

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/51526

Mathematics Subject Classification ID

Applications of hypergeometric functions (33C90) Characterization and structure theory of statistical distributions (62E10) Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Survival analysis and censored data (62N99) Applications of statistics in engineering and industry; control charts (62P30)

Review text

Summary: The Gumbel distribution is perhaps the most widely applied statistical distribution for problems in engineering. We introduce a generalization -- referred to as the beta Gumbel distribution -- generated from the logit of a beta random variable. We provide a comprehensive treatment of the mathematical properties of this new distribution. We derive the analytical shapes of the corresponding probability density function and the hazard rate function and provide graphical illustrations. We calculate expressions for the \(n\)-th moment and the asymptotic distribution of the extreme order statistics. We investigate the variation of the skewness and kurtosis measures. We also discuss estimation by the method of maximum likelihood. We hope that this generalization will attract wider applicability in engineering.

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