gpstat
Compute statistics of the generalized Pareto distribution.
[m, v] = gpstat (k, sigma, mu)
returns the mean and variance of the generalized Pareto distribution with
shape parameter k, scale parameter sigma, and location parameter
mu.
The size of m (mean) and v (variance) is the common size of the input arguments. A scalar input functions as a constant matrix of the same size as the other inputs.
When k = 0 and mu = 0, the generalized Pareto
distribution is equivalent to the exponential distribution. When
k > 0
and mu = sigma / k
,
the generalized Pareto distribution is equivalent to the Pareto distribution.
The mean of the generalized Pareto distribution is not finite when
k >= 1
, and the variance is not finite when
k >= 1/2
. When k >= 0
, the generalized
Pareto distribution has positive density for x > mu
,
or, when k < 0
, for
0 <= (x - mu) / sigma <= -1 / k
.
Further information about the generalized Pareto distribution can be found at https://en.wikipedia.org/wiki/Generalized_Pareto_distribution
See also: gpcdf, gpinv, gppdf, gprnd, gpfit, gplike
Source Code: gpstat