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On the characteristic functions for extreme value distributions

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Abstract

For the first time, explicit closed forms are derived for characteristic functions for the extreme value distributions of type 2 and type 3. These expressions involve the Fox’s \(H_{0,2}^{2,0}\) function and the Wright generalized confluent hypergeometric 1Ψ0-function. A discussion of applications is given.

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Authors and Affiliations

  1. School of Mathematics, University of Manchester, Manchester, M13 9PL, UK

    Saralees Nadarajah

  2. Faculty of Maritime Studies, University of Rijeka, 51000, Rijeka, Croatia

    Tibor K. Pogány

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  1. Saralees Nadarajah
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  2. Tibor K. Pogány
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Correspondence to Saralees Nadarajah.

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Nadarajah, S., Pogány, T.K. On the characteristic functions for extreme value distributions. Extremes 16, 27–38 (2013). https://doi.org/10.1007/s10687-012-0151-4

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  • DOI: https://doi.org/10.1007/s10687-012-0151-4

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