198 - Unification of the Fréchet and Weibull Distribution

DNB Working Papers
Date 21 January 2009

Well-known results for the Fréchet and Weibull distribution are streamlined using a unifying parametrisation. Expected values for order statistics follow through a fractional matrix power and the likelihood surface in case of a loglinear specification for the scale parameter is shown to have just two stationary points. KEYWORDS: Fréchet, Weibull, Gumbel, incomplete Gamma, Lorenz curve, order statistics, fractional matrix power, maximum likelihood. JEL Classification: C13, C16