Density, cumulative density, quantiles and random number generation for the generalized Pareto distribution
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x, q, p |
Value, quantile or probability respectively. |
n |
Number of random numbers to simulate. |
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. |
The functions were originally based on code due to Stuart Coles and which
appears in the ismev
package. The functions have been vectorized and
tested.
Random number generation is done by inversion of the distribution function. Code written by Harry Southworth.
Janet E Heffernan, Harry Southworth
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Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
All documentation is copyright its authors; we didn't write any of that.