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20.9 Frechet distribution

20.9.1 Probability density function

If $\alpha \in \mathbb{R}^+$ and $\sigma \in \mathbb{R}^+$, then for $y \in \mathbb{R}^+$, $$\text{Frechet}(y|\alpha,\sigma) = \frac{\alpha}{\sigma} \, \left( \frac{y}{\sigma} \right)^{-\alpha - 1} \, \exp \! \left( \! - \left( \frac{y}{\sigma} \right)^{-\alpha} \right) .$$

Note that if $Y \propto \text{Frechet}(\alpha,\sigma)$, then $Y^{-1} \propto \text{Weibull}(\alpha,\sigma^{-1})$.

20.9.2 Sampling statement

y ~ frechet(alpha, sigma)

Increment target log probability density with frechet_lupdf(y | alpha, sigma).
Available since 2.5

20.9.3 Stan functions

real frechet_lpdf(reals y | reals alpha, reals sigma)
The log of the Frechet density of y given shape alpha and scale sigma
Available since 2.12

real frechet_lupdf(reals y | reals alpha, reals sigma)
The log of the Frechet density of y given shape alpha and scale sigma dropping constant additive terms
Available since 2.25

real frechet_cdf(reals y, reals alpha, reals sigma)
The Frechet cumulative distribution function of y given shape alpha and scale sigma
Available since 2.5

real frechet_lcdf(reals y | reals alpha, reals sigma)
The log of the Frechet cumulative distribution function of y given shape alpha and scale sigma
Available since 2.12

real frechet_lccdf(reals y | reals alpha, reals sigma)
The log of the Frechet complementary cumulative distribution function of y given shape alpha and scale sigma
Available since 2.12

R frechet_rng(reals alpha, reals sigma)
Generate a Frechet variate with shape alpha and scale sigma; may only be used in transformed data and generated quantities blocks. For a description of argument and return types, see section vectorized PRNG functions.
Available since 2.18