rGenPareto function

Simulation of the generalized Pareto Distribution

Simulation of the generalized Pareto Distribution

Generates random deviates of a generalized Pareto distribution

rGenPareto(n, t, alpha_ini, alpha_tail, truncation = NULL)

Arguments

  • n: Numeric. Number of observations.
  • t: Numeric vector. Thresholds of the generalized Pareto distributions
  • alpha_ini: Numeric vector. Initial Pareto alphas of the generalized Pareto distributions.
  • alpha_tail: Numeric vector. Tail Pareto alphas of the generalized Pareto distributions.
  • truncation: NULL or Numeric vector. If truncation is not NULL and truncation > t, then the generalized Pareto distributions are truncated at truncation (resampled generalized Pareto)

Returns

A vector of n samples from the (truncated) generalized Pareto distribution with parameters t, alpha_ini and alpha_tail

Examples

rGenPareto(100, 1000, 2, 3)
rGenPareto(100, 1000, 2, 3, truncation = 2000)
rGenPareto(100, t = c(1, 10, 100, 1000), alpha_ini = 1, alpha_tail = c(2, 5))
Pareto packageRead PDF manual