Y Sorted Y F ln F "-ln(-ln F)" Predicted F Error

373.5207 108.4198 0.1 -2.302585 -0.834032 0.110663 -0.010663

202.2548 125.4293 0.2 -1.609438 -0.475885 0.19365 0.00635
219.5806 142.5737 0.3 -1.203973 -0.185627 0.294777 0.005223
170.0712 149.9534 0.4 -0.916291 0.087422 0.3411 0.0589
149.9534 170.0712 0.5 -0.693147 0.366513 0.467523 0.032477
108.4198 189.6501 0.6 -0.510826 0.671727 0.581315 0.018685
142.5737 194.9599 0.7 -0.356675 1.03093 0.60957 0.09043
189.6501 202.2548 0.8 -0.223144 1.49994 0.646299 0.153701
125.4293 219.5806 0.9 -0.105361 2.250367 0.723419 0.176581
194.9599 373.5207 1 0 0.977484 0.022516

Matching moments: Sum of errors sq.= 0.068544

Sample mean= 187.6414 alpha= 0.017243
Sample std dev= 74.34825 u= 154.1788

Specified mean: 200 (1) Enter in cells C18 & C19 the mean and std deviation to be
Specified Std Dev: 75 used in generating random observations. The Gumbel
Implied alpha= 0.017093 parameters "alpha" & u which correspond to these values
Implied u= 166.2441 will be computed and displayed immediately below.

(2) Press the F9 key and ten

random observations will
appear in the "Y" column,
2.5
and sorted in ascending
order in the "Sorted Y"
2
column above.
f(x) = 0.0253642304x - 3.7453740585
1.5
(3)The Sample mean and
-ln(-ln f)

1 standard deviation of Y
are then used to estimate
0.5 observed
the values of the Gumbel
Linear (observed) parameters alpha & u.
0 The values of the CDF
100 120 140 160 180 200 220 240 using these parameters
-0.5
then appears in the
-1 "Predicted F" column.

Y (4) A scatter plot of the

linearized CDF curve
is shown, together with
Based upon line fit: the line which best fits
slope intercept the data. The slope of
F= 0.025364 -3.745374 this line is an estimate
which implies of alpha, and the intercept
alpha= 0.025364 estimates (-alpha*u)
u= 147.6636

Y predicted F Error (5) Using the alpha & u obtained from the line
108.4198 0.066818 0.0331815 fit, we compute F(Y) for each observed Y, and
125.4293 0.172456 0.0275437 sum the squares of the errors.
142.5737 0.320521 -0.0205212
149.9534 0.389234 0.0107663
170.0712 0.567531 -0.0675315
189.6501 0.708402 -0.1084021 (6) Which method of estimating u & alpha giv
194.9599 0.739853 -0.0398526 the better fit to the observed data?
202.2548 0.778483 0.0215168 (Press the F9 key several times to compare t
219.5806 0.850986 0.0490141 two methods on several sets of randomly-gen
373.5207 0.996754 0.0032461 data.)

sum of errors sq. = 0.0232 by using results of linear regression regression

compared to
sum of errors sq. = 0.0685 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
i 1 i
n
x exp
x
x i
i 1
n
exp

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 0.577
& u Y

 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,