GPD: Generalised Pareto Distribution

Description

Density function, distribution function, quantile function, random generation, hazard and cumulative hazard functions for the Generalised Pareto Distribution.

Usage

dGPD(x, loc = 0.0, scale = 1.0, shape = 0.0, log = FALSE)
   pGPD(q, loc = 0.0, scale = 1.0, shape = 0.0, lower.tail = TRUE)
   qGPD(p, loc = 0.0, scale = 1.0, shape = 0.0, lower.tail = TRUE)
   rGPD(n, loc = 0.0, scale = 1.0, shape = 0.0)
   hGPD(x, loc = 0.0, scale = 1.0, shape = 0.0)
   HGPD(x, loc = 0.0, scale = 1.0, shape = 0.0)

Arguments

x, q

Vector of quantiles.

Vector of probabilities.

Number of observations.

loc

Location parameter $\mu$.

scale

Scale parameter $\sigma$.

shape

Shape parameter $\xi$.

log

Logical; if TRUE, the log density is returned.

lower.tail

Logical; if TRUE (default), probabilities are $\textrm{Pr}[X <= x]$,="" otherwise,="" $\textrm{pr}[x=""> x]$.

Value

dGPD gives the density function, pGPD gives the distribution function, qGPD gives the quantile function, and rGPD generates random deviates. The functions hGPD and HGPD return the hazard rate and the cumulative hazard.

Details

Let $\mu$, $\sigma$ and $\xi$ denote loc, scale and shape. The distribution values $y$ are $\mu \leq y < y_{\textrm{max}}$. When $\xi \neq 0$, the survival function value for $y \geq \mu$ is given by

$$S(y) = \left[1 + \xi(y - \mu)/\sigma\right]^{-1/ \xi} \qquad \mu < y < y_{\textrm{max}}$$ where the upper end-point is $y_{\textrm{max}} = \infty$ for $\xi >0$ and $y_{\textrm{max}} = \mu -\sigma/ \xi$ for $\xi <0$.< p="">

When $\xi = 0$, the distribution is exponential with survival $$S(y) = \exp\left[- (y - \mu)/\sigma\right] \qquad \mu \leq y.$$

Examples

Run this code

qGPD(p = c(0, 1), shape = -0.2)
shape <- -0.3
xlim <- qGPD(p = c(0, 1), shape = shape)
x <- seq(from = xlim[1], to = xlim[2], length.out = 100)
h <- hGPD(x, shape = shape)
plot(x, h, type = "o", main = "hazard rate for shape < 0")
shape <- 0.2
xlim <- qGPD(p = c(0, 1 - 1e-5), shape = shape)
x <- seq(from = xlim[1], to = xlim[2], length.out = 100)
h <- hGPD(x, shape = shape)
plot(x, h, type = "o", main = "hazard rate shape > 0 ")