R/qgpd.R

In Rsafd: Statistical Analysis of Financial Data in R

`qgpd` <-
function(p, m = 0, lambda = 1, xi = 0) 
{
    k <- xi
    if (!SHAPE.XI) k <- -xi
	if ((length(m)!=length(lambda))|(length(m)!=length(xi))|(length(xi)!=length(lambda)))
		stop("m, lambda and xi should have the same lengths")
	n <- length(m)
	if ((n > 1) & (length(p) != n))
		stop("When vectors of lengths > 1, m, lambda and xi should have the same length as p")
    if (sum(p <= 0 | p >= 1)>0) 
        warning("Argument of qgpd should be between 0 and 1, NA will be returned in other cases")
	val <- rep(Inf, length(p))  
	if (n==1)
	{
		if (k==0)  
			val <- m - lambda*log(1 - p)
		else 
			val <- m - lambda*( 1 - (1 - p)^(-k))/k
	}
	else
	{
		K0 <- (k==0)
		val[K0] <-	m[K0] - lambda[K0]*log(1 - p[K0])
		val[!K0] <- m[!K0] - lambda[!K0]*( 1 - (1 - p[!K0])^(-k[!K0]))/k[!K0]
	}
	val[p <= 0 | p >= 1] <- NA
    val
}