GPD {QRMlib}R Documentation

Generalized Pareto Distribution

Description

Cumulative probability, quantiles, density and random generation from the generalized Pareto distribution.

Usage

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

Arguments

x vector of values at which to evaluate density
q vector of quantiles
p vector of probabilities
n sample size
xi shape parameter
beta scale parameter
logvalue whether or not log values of density should be returned (useful for ML)

Value

Probability (pGPD), quantile (qGPD), density (dGPD) or random sample (rGPD) for the GPD with shape xi.

Author(s)

documentation by Scott Ulman for R-language distribution

See Also

fit.GPD, pGEV, fit.GEV

Examples

## Not run: 
#Build a loglikelihood function for MLE which can be called from optim()
negloglik <- function(theta)
{
  -sum(dGPD(excesses.nl,theta[1],abs(theta[2]),logvalue=TRUE));
}
## End(Not run)

[Package QRMlib version 1.4.4 Index]