Normalized centered moments of the Fr\'echet extreme-value distribution and inference of its parameter

arXiv2303.15572MaRDI QIDQ6431044FDOQ6431044

Authors: Jean-Christophe Pain 

Publication date: 27 March 2023

Abstract: In the present work, we provide the general expression of the normalized centered moments of the Fr'echet extreme-value distribution. In order to try to represent a set of data corresponding to rare events by a Fr'echet distribution, it is important to be able to determine its characteristic parameter $alpha$. Such a parameter can be deduced from the variance (proportional to the square of the Full Width at Half Maximum) of the studied distribution. However, the corresponding equation requires a numerical resolution. We propose two simple estimates of $alpha$ from the knowledge of the variance, based on the Laurent series of the Gamma function. The most accurate expression involves the Ap'ery constant.

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