gpdUC {VGAM}R Documentation

The Generalized Pareto Distribution

Description

Density, distribution function, quantile function and random generation for the generalized Pareto distribution (GPD) with location parameter location, scale parameter scale and shape parameter shape.

Usage

dgpd(x, location = 0, scale = 1, shape = 0, log = FALSE,
     tolshape0 = sqrt(.Machine$double.eps),
     oobounds.log = -Inf, giveWarning = FALSE)
pgpd(q, location = 0, scale = 1, shape = 0)
qgpd(p, location = 0, scale = 1, shape = 0)
rgpd(n, location = 0, scale = 1, shape = 0)

Arguments

x, q

vector of quantiles.

p

vector of probabilities.

n

number of observations. If length(n) > 1 then the length is taken to be the number required.

location

the location parameter mu.

scale

the (positive) scale parameter sigma.

shape

the shape parameter xi.

log

Logical. If log = TRUE then the logarithm of the density is returned.

tolshape0

Positive numeric. Threshold/tolerance value for resting whether xi is zero. If the absolute value of the estimate of xi is less than this value then it will be assumed zero and an exponential distribution will be used.

oobounds.log, giveWarning

Numeric and logical. The GPD distribution has support in the region satisfying (x-location)/scale > 0 and 1+shape*(x-location)/scale > 0. Outside that region, the logarithm of the density is assigned oobounds.log, which equates to a zero density. It should not be assigned a positive number, and ideally is very negative. Since gpd uses this function it is necessary to return a finite value outside this region so as to allow for half-stepping. Both arguments are in support of this. This argument and others match those of gpd.

Details

See gpd, the VGAM family function for estimating the two parameters by maximum likelihood estimation, for formulae and other details. Apart from n, all the above arguments may be vectors and are recyled to the appropriate length if necessary.

Value

dgpd gives the density, pgpd gives the distribution function, qgpd gives the quantile function, and rgpd generates random deviates.

Note

The default values of all three parameters, especially xi = 0, means the default distribution is the exponential.

Currently, these functions have different argument names compared with those in the evd package.

Author(s)

T. W. Yee

References

Coles, S. (2001) An Introduction to Statistical Modeling of Extreme Values. London: Springer-Verlag.

See Also

gpd.

Examples

## Not run:  x = seq(-0.2, 3, by = 0.01)
loc = 0; sigma = 1; xi = -0.4
plot(x, dgpd(x, loc, sigma, xi), type = "l", col = "blue", ylim = c(0, 1),
     main = "Blue is density, red is cumulative distribution function",
     sub = "Purple are 5,10,...,95 percentiles", ylab = "", las = 1)
abline(h = 0, col = "blue", lty = 2)
lines(qgpd(seq(0.05, 0.95, by = 0.05), loc, sigma, xi), 
      dgpd(qgpd(seq(0.05, 0.95, by = 0.05), loc, sigma, xi), loc, sigma, xi),
      col = "purple", lty = 3, type = "h")
lines(x, pgpd(x, loc, sigma, xi), type = "l", col = "red")
abline(h = 0, lty = 2)

## End(Not run)

[Package VGAM version 0.8-4 Index]