Definition:Extreme Value Distribution

Definition

An extreme value distribution is a probability distribution associated with the smallest and greatest values of order statistics in a sample.

Such a distribution is useful for:

assessing the risk of the occurrence of an unlikely event, for example:

floods exceeding a certain height

a ship colliding with a bridge

estimating an earliest likely failure time.

Also see

• Definition:Weibull Distribution
• Definition:Fréchet Distribution
• Definition:Gumbel Distribution

• Results about extreme value distributions can be found here.

Sources

• 1998: David Nelson: The Penguin Dictionary of Mathematics (2nd ed.) ... (previous) ... (next): extreme value distribution
• 2008: David Nelson: The Penguin Dictionary of Mathematics (4th ed.) ... (previous) ... (next): extreme value distribution