Publicações

Muraleedharan, G., Guedes Soares, C. and Lucas, C., (2011), “Characteristic and Moment Generating Functions of Generalised Extreme Value Distribution (GEV)”, Sea Level Rise, Coastal Engineering, Shorelines and Tides, 2011, Linda L. Wright (ed), Nova Science Publishers, New York, U.S.A., pp. 269-276

Recently generalised extreme value distribution is widely used for extreme event modeling and ocean engineering applications. Hence the characteristic function (CF) of generalized extreme value distribution is derived and the moment generating function (MGF) is deduced from it. It generates all the moments of the distribution and satisfies the tests to verify a function to be a characteristic function. Expressions for mean, variance, skewness and kurtosis are obtained from MGF. The GEV is suggested as the sampling distribution of the newly defined significant wave height distribution by the method of characteristic function. The CF of Frechet distribution, a special case of GEV is also derived. The MGF deduced from it generates all the moments of the distribution. The characteristic function has many useful and important properties which gives it a central role in statistical theory.

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