OpVaR (version 1.0.5)

gpd: Generalized Pareto Distribution

Description

Density, distribution function, quantile function, and random generation for generalized Pareto distribution.

Usage

dgpd(x, loc, scale, shape)
pgpd(q, loc, scale, shape) 
qgpd(p, loc, scale, shape) 
rgpd(n, loc, scale, shape)

Arguments

x, q

vector of quantiles.

p

vector of probabilities.

n

number of observations.

loc

location parameter.

scale

scale parameter.

shape

shape parameter.

Value

dgpd gives the density, pgpd gives the distribution function, qgpd gives the quantile function, and rgpd generates random deviates.

Details

Generalized Pareto Distribution with density

$$f(x)=1/scale * (1 + shape * (x - loc)/scale)^(-1/shape - 1)$$

Examples

# NOT RUN {
dgpd(110,100,2,4) # 0.01112233
# }