dgpd: Generalized Pareto Distribution

In OpVaR: Statistical Methods for Modelling Operational Risk

Description

Density, distribution function, quantile function, and random generation for generalized Pareto distribution.

Usage

dgpd(x, loc, scale, shape, log=FALSE)
pgpd(q, loc, scale, shape) 
qgpd(p, loc, scale, shape) 
rgpd(n, loc, scale, shape) 

Arguments

x, q	vector of quantiles.
p	vector of probabilities.
n	number of observations.
loc	location parameter.
scale	scale parameter.
shape	shape parameter.
log	logical; logarithm of output

Details

Generalized Pareto Distribution with density

f(x)=1/scale * (1 + shape * (x - loc)/scale)^(-1/shape - 1)

Value

dgpd gives the density, pgpd gives the distribution function, qgpd gives the quantile function, and rgpd generates random deviates.

Examples

dgpd(110,100,2,4) # 0.01112233

Example output

[1] 0.01112233

OpVaR documentation built on Sept. 8, 2021, 5:07 p.m.