Generalized Pareto distribution(1) probability densityf(x,μ,σ,ξ)={1σ{1+ξ(x−μ)σ}(−1ξ−1)ξ≠01σexp{−(x−μ)σ}ξ=0 (2) lower cumulative distributionP(x,μ,σ,ξ)={1−{1+ξ(x−μ)σ}−1ξξ≠01−exp(−x−μσ)ξ=0(3) upper cumulative distributionQ(x,μ,σ,ξ)={{1+ξ(x−μ)σ}−1ξξ≠0exp(−x−μσ)ξ=0 |
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