# evinv

Extreme value inverse cumulative distribution function

## Syntax

`X = evinv(P,mu,sigma)[X,XLO,XUP] = evinv(P,mu,sigma,pcov,alpha)`

## Description

`X = evinv(P,mu,sigma)` returns the inverse cumulative distribution function (cdf) for a type 1 extreme value distribution with location parameter `mu` and scale parameter `sigma`, evaluated at the values in `P`. `P`, `mu`, and `sigma` can be vectors, matrices, or multidimensional arrays that all have the same size. A scalar input is expanded to a constant array of the same size as the other inputs. The default values for `mu` and `sigma` are `0` and `1`, respectively.

`[X,XLO,XUP] = evinv(P,mu,sigma,pcov,alpha)` produces confidence bounds for `X` when the input parameters `mu` and `sigma` are estimates. `pcov` is the covariance matrix of the estimated parameters. `alpha` is a scalar that specifies 100(1 – `alpha`)% confidence bounds for the estimated parameters, and has a default value of 0.05. `XLO` and `XUP` are arrays of the same size as `X` containing the lower and upper confidence bounds.

The function `evinv` computes confidence bounds for `P` using a normal approximation to the distribution of the estimate

$\stackrel{^}{\mu }+\stackrel{^}{\sigma }q$

where q is the `P`th quantile from an extreme value distribution with parameters μ = 0 and σ = 1. The computed bounds give approximately the desired confidence level when you estimate `mu`, `sigma`, and `pcov` from large samples, but in smaller samples other methods of computing the confidence bounds might be more accurate.

The type 1 extreme value distribution is also known as the Gumbel distribution. The version used here is suitable for modeling minima; the mirror image of this distribution can be used to model maxima by negating `X`. See Extreme Value Distribution for more details. If x has a Weibull distribution, then X = log(x) has the type 1 extreme value distribution.