Description Usage Arguments Details Value Examples
Calculate the arc length for a univariate generalised Pareto probability density function over a specified interval.
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mu |
A real number specifying the location parameter. |
sigma |
A strictly positive real number specifying the scale parameter. |
alpha |
A real number specifying the shape parameter. |
q1 |
The point (or vector for |
q2 |
The point (or vector for |
quantile |
Logical, TRUE/FALSE, whether |
The arc length of a univariate generalised Pareto probability density function is approximated using the numerical integration C code implimented for R's integrate functions, i.e. using Rdqags. For this approximation, subdiv = 100 (100 subdivisions), and eps_abs = eps_rel = 1e-10, i.e. the absolute and relative errors respectively.
GPDInt: A list with the following components:
value: The resultant arc length.
abs.err: The absolute error between iterations. subdivisions: Number of subdivisions used in the numerical approximation.
neval: Number of function evaluations used by the numerical approximation.
GPDInt2: A vector having length equal to that of the vector of lower quantile bounds, containing the arc lengths requested for a generalised Pareto probability density function.
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