OpVaR (version 1.2)

gpd: Generalized Pareto Distribution

Description

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

Usage

dgpd(x, loc, scale, shape, log=FALSE)
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.

log

logical; logarithm of output

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
# }