QRM (version 0.4-7)

GPD: Generalized Pareto Distribution

Description

Density, quantiles, and cumulative probability of the Generalized Pareto distribution.

Usage

pGPD(q, xi, beta = 1) 
qGPD(p, xi, beta = 1) 
dGPD(x, xi, beta = 1, log = FALSE) 
rGPD(n, xi, beta = 1)

Arguments

beta

numeric, scale parameter.

log

logical, whether log values of density should be returned.

n

integer, count of random variates.

p

vector, probabilities.

q

vector, quantiles.

x

vector, values to evaluate density.

xi

numeric, shape parameter.

Value

• numeric, probability (pGPD), quantile (qGPD), density (dGPD) or random variates (rGPD) for the GPD with scale parameter $\beta$ and shape parameter $\xi$.

See Also

GEV, POT