jeudi 26 février 2015

Generalized Extreme Value Distribution in C++ (GEV)

the GEV Distribution (http://ift.tt/1vBT3bk) has 3 parameters:


μ ∈ R — location,


σ > 0 — scale


ξ ∈ R — shape


However, the C++ 11 library only supports a extreme_value_distribution that only supports 2 parameters:


http://ift.tt/1FxegTM


So this implementation lacks the shape parameter (ξ). Is there a way to generate random numbers in C++ with a GEV distribution?


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