Ad blocker interference detected!
Wikia is a free-to-use site that makes money from advertising. We have a modified experience for viewers using ad blockers
Wikia is not accessible if you’ve made further modifications. Remove the custom ad blocker rule(s) and the page will load as expected.
Individual differences |
Methods | Statistics | Clinical | Educational | Industrial | Professional items | World psychology |
| Probability density function|
| Cumulative distribution function|
|Parameters|| location (real)|
The family of generalized Pareto distributions (GPD) has three parameters and .
for when , and when , where is the location parameter, the scale parameter and the shape parameter. Note that some references give the "shape parameter" as .
The probability density function is:
again, for , and when .
Generating generalized Pareto random variables Edit
If U is uniformly distributed on (0, 1], then
In Matlab Statistics Toolbox, you can easily use "gprnd" command to generate generalized Pareto random numbers.
With GNU R you can use the packages POT or evd with the "rgpd" command (see for exact usage: http://rss.acs.unt.edu/Rdoc/library/POT/html/simGPD.html)
- Balkema, A.; Laurens de Haan (1974), "Residual life time at great age", Annals of Probability 2: 792–804, http://projecteuclid.org/euclid.aop/1176996548
- Pickands, James (1975), "Statistical inference using extreme order statistics", Annals of Statistics 3: 119–131, http://projecteuclid.org/euclid.aos/1176343003
Some common univariate probability distributions
|List of probability distributions|
|This page uses Creative Commons Licensed content from Wikipedia (view authors).|