dst_gpd: Generalised Pareto Distribution
In vincenzocoia/distionary: Create and Evaluate Probability Distributions

dst_gpd

R Documentation

Generalised Pareto Distribution

Description

Makes a Generalized Pareto distribution (GPD), corresponding to the limiting distribution of excesses over a threshold.

Usage

dst_gpd(scale, shape)

Arguments

`scale`	Scale parameter; single positive numeric.
`shape`	Shape parameter; single positive numeric. This is also the extreme value index, so that `shape > 0` is heavy tailed, and `shape < 0` is short-tailed.

Value

A Generalised Pareto Distribution.

Examples

# Short-tailed example
short <- dst_gpd(1, -1)
range(short)
mean(short)

# Heavy-tailed example
heavy <- dst_gpd(1, 1)
range(heavy)
mean(heavy)

# Light-tailed example (a Gumbel distribution)
light <- dst_gpd(1, 0)
range(light)
mean(light)

vincenzocoia/distionary documentation built on Feb. 26, 2025, 11:09 a.m.