GPD: Generalized Pareto Distribution

In QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts

Generalized Pareto Distribution

Description

Density, quantiles, and cumulative probability of the Generalized Pareto distribution.

Usage

pGPD(q, xi, beta = 1) 
qGPD(p, xi, beta = 1) 
dGPD(x, xi, beta = 1, log = FALSE) 
rGPD(n, xi, beta = 1)

Arguments

beta	numeric, scale parameter.
log	logical, whether log values of density should be returned.
n	integer, count of random variates.
p	vector, probabilities.
q	vector, quantiles.
x	vector, values to evaluate density.
xi	numeric, shape parameter.

Value

numeric, probability (pGPD), quantile (qGPD), density (dGPD) or random variates (rGPD) for the GPD with scale parameter \beta and shape parameter \xi.

See Also

GEV, POT

QRM documentation built on April 12, 2025, 1:15 a.m.