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MDPI, Entropy, 12(25), p. 1598, 2023

DOI: 10.3390/e25121598

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Bridging Extremes: The Invertible Bimodal Gumbel Distribution

Journal article published in 2023 by Cira G. Otiniano ORCID, Eduarda B. Silva, Raul Y. Matsushita ORCID, Alan Silva
This paper is made freely available by the publisher.
This paper is made freely available by the publisher.

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Abstract

This paper introduces a novel three-parameter invertible bimodal Gumbel distribution, addressing the need for a versatile statistical tool capable of simultaneously modeling maximum and minimum extremes in various fields such as hydrology, meteorology, finance, and insurance. Unlike previous bimodal Gumbel distributions available in the literature, our proposed model features a simple closed-form cumulative distribution function, enhancing its computational attractiveness and applicability. This paper elucidates the behavior and advantages of the invertible bimodal Gumbel distribution through detailed mathematical formulations, graphical illustrations, and exploration of distributional characteristics. We illustrate using financial data to estimate Value at Risk (VaR) from our suggested model, considering maximum and minimum blocks simultaneously.