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diff --git a/src/main/java/org/apache/commons/math3/distribution/GumbelDistribution.java b/src/main/java/org/apache/commons/math3/distribution/GumbelDistribution.java
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+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *      http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+package org.apache.commons.math3.distribution;
+
+import org.apache.commons.math3.exception.NotStrictlyPositiveException;
+import org.apache.commons.math3.exception.OutOfRangeException;
+import org.apache.commons.math3.exception.util.LocalizedFormats;
+import org.apache.commons.math3.random.RandomGenerator;
+import org.apache.commons.math3.random.Well19937c;
+import org.apache.commons.math3.util.FastMath;
+import org.apache.commons.math3.util.MathUtils;
+
+/**
+ * This class implements the Gumbel distribution.
+ *
+ * @see <a href="http://en.wikipedia.org/wiki/Gumbel_distribution">Gumbel Distribution
+ *     (Wikipedia)</a>
+ * @see <a href="http://mathworld.wolfram.com/GumbelDistribution.html">Gumbel Distribution
+ *     (Mathworld)</a>
+ * @since 3.4
+ */
+public class GumbelDistribution extends AbstractRealDistribution {
+
+    /** Serializable version identifier. */
+    private static final long serialVersionUID = 20141003;
+
+    /**
+     * Approximation of Euler's constant see
+     * http://mathworld.wolfram.com/Euler-MascheroniConstantApproximations.html
+     */
+    private static final double EULER = FastMath.PI / (2 * FastMath.E);
+
+    /** The location parameter. */
+    private final double mu;
+
+    /** The scale parameter. */
+    private final double beta;
+
+    /**
+     * Build a new instance.
+     *
+     * <p><b>Note:</b> this constructor will implicitly create an instance of {@link Well19937c} as
+     * random generator to be used for sampling only (see {@link #sample()} and {@link
+     * #sample(int)}). In case no sampling is needed for the created distribution, it is advised to
+     * pass {@code null} as random generator via the appropriate constructors to avoid the
+     * additional initialisation overhead.
+     *
+     * @param mu location parameter
+     * @param beta scale parameter (must be positive)
+     * @throws NotStrictlyPositiveException if {@code beta <= 0}
+     */
+    public GumbelDistribution(double mu, double beta) {
+        this(new Well19937c(), mu, beta);
+    }
+
+    /**
+     * Build a new instance.
+     *
+     * @param rng Random number generator
+     * @param mu location parameter
+     * @param beta scale parameter (must be positive)
+     * @throws NotStrictlyPositiveException if {@code beta <= 0}
+     */
+    public GumbelDistribution(RandomGenerator rng, double mu, double beta) {
+        super(rng);
+
+        if (beta <= 0) {
+            throw new NotStrictlyPositiveException(LocalizedFormats.SCALE, beta);
+        }
+
+        this.beta = beta;
+        this.mu = mu;
+    }
+
+    /**
+     * Access the location parameter, {@code mu}.
+     *
+     * @return the location parameter.
+     */
+    public double getLocation() {
+        return mu;
+    }
+
+    /**
+     * Access the scale parameter, {@code beta}.
+     *
+     * @return the scale parameter.
+     */
+    public double getScale() {
+        return beta;
+    }
+
+    /** {@inheritDoc} */
+    public double density(double x) {
+        final double z = (x - mu) / beta;
+        final double t = FastMath.exp(-z);
+        return FastMath.exp(-z - t) / beta;
+    }
+
+    /** {@inheritDoc} */
+    public double cumulativeProbability(double x) {
+        final double z = (x - mu) / beta;
+        return FastMath.exp(-FastMath.exp(-z));
+    }
+
+    /** {@inheritDoc} */
+    @Override
+    public double inverseCumulativeProbability(double p) throws OutOfRangeException {
+        if (p < 0.0 || p > 1.0) {
+            throw new OutOfRangeException(p, 0.0, 1.0);
+        } else if (p == 0) {
+            return Double.NEGATIVE_INFINITY;
+        } else if (p == 1) {
+            return Double.POSITIVE_INFINITY;
+        }
+        return mu - FastMath.log(-FastMath.log(p)) * beta;
+    }
+
+    /** {@inheritDoc} */
+    public double getNumericalMean() {
+        return mu + EULER * beta;
+    }
+
+    /** {@inheritDoc} */
+    public double getNumericalVariance() {
+        return (MathUtils.PI_SQUARED) / 6.0 * (beta * beta);
+    }
+
+    /** {@inheritDoc} */
+    public double getSupportLowerBound() {
+        return Double.NEGATIVE_INFINITY;
+    }
+
+    /** {@inheritDoc} */
+    public double getSupportUpperBound() {
+        return Double.POSITIVE_INFINITY;
+    }
+
+    /** {@inheritDoc} */
+    public boolean isSupportLowerBoundInclusive() {
+        return false;
+    }
+
+    /** {@inheritDoc} */
+    public boolean isSupportUpperBoundInclusive() {
+        return false;
+    }
+
+    /** {@inheritDoc} */
+    public boolean isSupportConnected() {
+        return true;
+    }
+}