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qgpd <- function(p, gam, sigma = 1){
#
# Quantile function of the generalized Pareto
# distribution (GPD).
#
# Input:
# - p : Vector of probabilities.
#
# - gam : tail index
# - sigma : scale parameter
#
# Kaspar Rufibach, 2006
#
n <- length(p)
q <- 1:n*NA
for (i in 1:n){
if (p[i] <= 0){q[i] <- -Inf}
if (p[i] == 1){q[i] <- max(p)}
if (p[i] > 1){q[i] <- Inf}
if (is.na(q[i]) == 1){
if (gam!=0){q[i] <- ((1-p[i])^(-gam)-1)/gam}
if (gam==0){q[i] <- -log(1-p[i])}}
}
return(q * sigma)
}
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