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st: -gumbelfit- package available on SSC


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: -gumbelfit- package available on SSC
Date   Tue, 18 Nov 2003 09:41:06 -0000

Thanks to Kit Baum, various programs to do
with fitting and plotting (two-parameter)
Gumbel distributions have been added to SSC
as the -gumbelfit- package, written by
Stephen P. Jenkins and myself. (All bug
reports to me.)

The Gumbel distribution is best known
as an extreme value distribution,
and also associated with several
workers who preceded Emil J. Gumbel,
of whom Fréchet, Gnedenko, Fisher
and Tippett spring to mind.

A piece of total trivia is that the distribution
of the mpg variable of the auto data
is fit remarkably well by a Gumbel distribution.

Stata 8 is required. -search gumbel-
will reveal separate programs in similar terrain
written by Manuel Scotto and Aurelio Tobias that
will work in various older versions of Stata.

Within the package,

* -gumbelfit- itself fits a Gumbel distribution
with a scale parameter and a location parameter,
optionally as dependent on covariates.

* -pgumbel- produces a probability plot compared with a
Gumbel distribution.

* -qgumbel- plots the quantiles of a variable against
the quantiles of a Gumbel distribution.

Nick
n.j.cox@durham.ac.uk

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