mgpd (version 1.99)

mgpd-package: mgpd: Functions for multivariate generalized Pareto distribution (MGPD of Type II)

Description

Extends distribution and density functions to parametric multivariate generalized Pareto distributions (MGPD of Type II), and provides fitting functions which calculate maximum likelihood estimates for bivariate and trivariate models.

Details

Package:

mgpd

Type:

Package

Version:

2.0

Date:

2012-03-07

License:

GPL-3

~~ An overview of how to use the package, including the most important ~~ ~~ functions ~~

References

Rakonczai and Zempleni (2010)

Examples

x=y=seq(-2,6,0.05)
z1=outer(x,y,pbgpd,model="log")
z2=outer(x,y,pbgpd,model="neglog")
image(z1-z2)