degp3: Density, cumulative density, quantiles and random number... In harrysouthworth/texmex: Statistical Modelling of Extreme Values

Description

Density, cumulative density, quantiles and random number generation for the EGP3 distribution of Papastathopoulos and Tawn

Usage

 ```1 2 3 4 5 6``` ```degp3(x, kappa = 1, sigma, xi, u = 0, log.d = FALSE) pegp3(q, kappa = 1, sigma, xi, u = 0, lower.tail = TRUE, log.p = FALSE) regp3(n, kappa = 1, sigma, xi, u = 0) ```

Arguments

 `x, q, p` Value, quantile or probability respectively. `kappa` The power parameter (Papastathopoulos and Tawn call it the shape parameter and call what we call the shape parameter the tail index.) `sigma` Scale parameter. `xi` Shape parameter. `u` Threshold `log.d, log.p` Whether or not to work on the log scale. `lower.tail` Whether to return the lower tail. `n` Number of random numbers to simulate.

Harry Southworth

References

I. Papastathopoulos and J. A. Tawn, Extended generalized Pareto modles for tail estimation, Journal of Statistical Planning and Inference, 143, 131 – 143, 2013

Examples

 ```1 2 3 4 5``` ``` x <- regp3(1000, kappa=2, sigma=1, xi=.5) hist(x) x <- regp3(1000, kappa=2, sigma=exp(rnorm(1000, 1, .25)), xi=rnorm(1000, .5, .2)) hist(x) plot(pegp3(x, kappa=2, sigma=1, xi=.5)) ```

harrysouthworth/texmex documentation built on Oct. 12, 2018, 1:08 p.m.