Y

205.7174
134.7017
402.4971
192.6659
179.8262
163.6468
252.8271
268.516
299.0676
233.5343

Sorted Y F
134.7017
163.6468
179.8262
192.6659
205.7174
233.5343
252.8271
268.516
299.0676
402.4971

0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

Sample mean=
Sample std dev=

233.3
77.75972

Specified mean:
Specified Std Dev:
Implied alpha=
Implied u=

200
75
0.017093
166.2441

ln F
-2.302585
-1.609438
-1.203973
-0.916291
-0.693147
-0.510826
-0.356675
-0.223144
-0.105361
0

"-ln(-ln F)"
-0.834032
-0.475885
-0.185627
0.087422
0.366513
0.671727
1.03093
1.49994
2.250367

Predicted F
0.05764
0.170221
0.257666
0.333745
0.412746
0.571543
0.665643
0.730343
0.827047
0.966078

Matching moments:
alpha=
0.016487
u=
198.3021

Sum of errors sq.=

(2) Press the F9 key and ten

random observations will
appear in the "Y" column,
and sorted in ascending
order in the "Sorted Y"
column above.

f(x) = 0.0183846744x - 3.4533683623

-ln(-ln f)

1.5
1
observed
Linear (observed)

0.5
0
120 140 160 180 200 220 240 260 280 300 320
-0.5
-1
Y

predicted F
0.07021

(3)The Sample mean and

standard deviation of Y
are then used to estimate
the values of the Gumbel
parameters alpha & u.
The values of the CDF
using these parameters
then appears in the
"Predicted F" column.
(4) A scatter plot of the
linearized CDF curve
is shown, together with
the line which best fits
the data. The slope of
this line is an estimate
of alpha, and the intercept
estimates (-alpha*u)

Based upon line fit:

slope
intercept
F=
0.018385 -3.453368
which implies
alpha=
0.018385
u=
187.8395
Y
134.7017

0.029791

(1) Enter in cells C18 & C19 the mean and std deviation to be
used in generating random observations. The Gumbel
parameters "alpha" & u which correspond to these values
will be computed and displayed immediately below.

2.5
2

Error
0.04236
0.029779
0.042334
0.066255
0.087254
0.028457
0.034357
0.069657
0.072953
0.033922

Error
0.0297902

(5) Using the alpha & u obtained from the line

fit, we compute F(Y) for each observed Y, and

163.6468
179.8262
192.6659
205.7174
233.5343
252.8271
268.516
299.0676
402.4971

0.210107
0.313885
0.40048
0.486813
0.649421
0.738768
0.796994
0.878628
0.980862

-0.0101068
-0.0138855
-0.0004799
0.0131865
-0.0494209
-0.0387678
0.0030058
0.0213724
0.0191384

sum of errors sq. =

compared to
sum of errors sq. =

sum the squares of the errors.

(6) Which method of estimating u & alpha giv

the better fit to the observed data?
(Press the F9 key several times to compare t
two methods on several sets of randomly-gen
data.)

0.0061 by using results of linear regression regression

0.0298 which was obtained using results of "method of momen

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
x
exp
i 1 i
x
n
x i
exp
i 1
n

where "xbar" is the sample standard mean,

and then from the equation

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

& u Y

0.577

d deviation to be

hese values

(2) Press the F9 key and ten

random observations will
appear in the "Y" column,
and sorted in ascending
order in the "Sorted Y"
column above.
(3)The Sample mean and
standard deviation of Y
are then used to estimate
the values of the Gumbel
parameters alpha & u.
The values of the CDF
using these parameters
then appears in the
"Predicted F" column.
(4) A scatter plot of the
linearized CDF curve
is shown, together with
the line which best fits
the data. The slope of
this line is an estimate
of alpha, and the intercept
estimates (-alpha*u)

the alpha & u obtained from the linear

mpute F(Y) for each observed Y, and

quares of the errors.

method of estimating u & alpha gives

fit to the observed data?
e F9 key several times to compare the
ods on several sets of randomly-generated

near regression regression

using results of "method of moments"

m Likelihood:

ard deviation,