rgp: Generalized Pareto random numbers

In gPdtest: Bootstrap goodness-of-fit test for the generalized Pareto distribution

Description

This function generates pseudo random numbers from a generalized Pareto distribution (gPd).

Usage

rgp(n,shape,scale)

Arguments

n	sample size.
shape	shape parameter.
scale	scale parameter. Default scale=1.

Details

The distribution function of the gPd with shape and scale parameters gamma and sigma is

F(x) = 1 - [ 1 + gamma x / sigma ]^(-1/gamma)

where gamma is a real number, sigma > 0 and 1 + gamma x / sigma > 0. When gamma = 0, we have the exponential distribution with scale parameter sigma.

Value

A vector of length n.

Author(s)

Elizabeth Gonzalez Estrada, Jose A. Villasenor Alva

See Also

gpd.test for testing the gPd hypothesis

Examples

rgp(30,shape=1.5)    ## Generates 30 random numbers from a gPd with shape parameter 1.5.

Example output

 [1]  5.4751120  0.9384671  0.4935325  5.4881415  0.5651998  0.6266279
 [7]  3.1703602  0.8767453 10.8541959 18.2999834  0.3829039  4.7676214
[13]  1.9351503  0.9764054  1.5345826  0.1833154  2.4416460  3.7097138
[19]  4.9290948  2.1903400  0.2649452  0.7893836  1.0738118  0.1266648
[25]  0.8277221  2.4041309  2.5587250  0.2584947 77.7869029 10.3758296

gPdtest documentation built on May 2, 2019, 8:57 a.m.