gpd_sum_stats: Generalized Pareto summary statistics

In rust: Ratio-of-Uniforms Simulation with Transformation

Generalized Pareto summary statistics

Description

Calculates summary statistics involved in the Generalized Pareto log-likelihood.

Usage

gpd_sum_stats(gpd_data)

Arguments

gpd_data

A numeric vector containing positive values.

Value

A list with components

gpd_data	A numeric vector. The input vector with any missings removed.
m	A numeric scalar. The sample size, i.e., the number of non-missing values.
xm	A numeric scalar. The sample maximum
sum_gp	A numeric scalar. The sum of the non-missing sample values.

See Also

rgpd for simulation from a generalized Pareto distribution.

Examples

# Sample data from a GP(sigma, xi) distribution
gpd_data <- rgpd(m = 100, xi = 0, sigma = 1)
# Calculate summary statistics for use in the log-likelihood
ss <- gpd_sum_stats(gpd_data)

rust documentation built on Sept. 2, 2023, 5:06 p.m.