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Specified mean: 200 (1) Enter in cells C18 & C19 the mean and std deviation to be
Specified Std Dev: 75 used in generating random observations. The Gumbel
Implied alpha= 0.017093 parameters "alpha" & u which correspond to these values
Implied u= 166.2441 will be computed and displayed immediately below.
1 standard deviation of Y
are then used to estimate
0.5 observed
the values of the Gumbel
Linear (observed) parameters alpha & u.
0 The values of the CDF
100 120 140 160 180 200 220 240 using these parameters
-0.5
then appears in the
-1 "Predicted F" column.
Y predicted F Error (5) Using the alpha & u obtained from the line
108.4198 0.066818 0.0331815 fit, we compute F(Y) for each observed Y, and
125.4293 0.172456 0.0275437 sum the squares of the errors.
142.5737 0.320521 -0.0205212
149.9534 0.389234 0.0107663
170.0712 0.567531 -0.0675315
189.6501 0.708402 -0.1084021 (6) Which method of estimating u & alpha giv
194.9599 0.739853 -0.0398526 the better fit to the observed data?
202.2548 0.778483 0.0215168 (Press the F9 key several times to compare t
219.5806 0.850986 0.0490141 two methods on several sets of randomly-gen
373.5207 0.996754 0.0032461 data.)
Note: Still other estimates of the Gumbel parameters may be found by Maximum Likelihood:
This requires an equation solver to find the solution of the nonlinear equation
x i
i 1 i
n
x exp
x
x i
i 1
n
exp
1 n x
ln exp i
n i 1
Once you have these Maximum Likelihood Estimates of the mean and standard deviation,
the parameters and u may be computed from
1.282 0.577
& u Y
d deviation to be
hese values
m Likelihood:
ard deviation,