gives a Pareto–Pickands distribution with location parameter μ, scale parameter σ and shape parameter ξ.
gives the standard Pareto–Pickands distribution with zero location and unit scale parameters.
- The ParetoPickandsDistribution is also known as generalized Pareto distribution or GPD.
- ParetoPickandsDistribution allows σ to be any positive real number and μ and ξ to be any real numbers.
- The probability density function for values in the generalized Pareto distribution is proportional to for and , and for for and . »
- The survival function for values in the generalized Pareto distribution equals for and , and for for and .
- The hazard function for value in the generalized Pareto distribution equals for and , and zero otherwise. »
- ParetoPickandsDistribution can be used with such functions as Mean, CDF and RandomVariate.
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Basic Examples (4)
Properties & Relations (8)
Possible Issues (1)
Introduced in 2019