law0023.GeneralizedPareto {PoweR} | R Documentation |
Random generation for the Generalized Pareto distribution with parameters mu
, sigma
and xi
.
This generator is called by function gensample
to create random variables based on its parameters.
If mu
, sigma
and xi
are not specified they assume the default values of 0, 1 and 0, respectively.
The Generalized Pareto distribution with parameters mu =
μ, sigma =
σ and xi =
ξ has density:
f(x) = 1/σ (1 + ξ (x - μ)/σ)^(-1/ξ - 1)
where x ≥ μ if ξ ≥ 0 and x ≤ μ - σ/ξ if ξ < 0.
P. Lafaye de Micheaux, V. A. Tran
Pierre Lafaye de Micheaux, Viet Anh Tran (2016). PoweR: A Reproducible Research Tool to Ease Monte Carlo Power Simulation Studies for Studies for Goodness-of-fit Tests in R. Journal of Statistical Software, 69(3), 1–42. doi:10.18637/jss.v069.i03
See Distributions
for other standard distributions.
res <- gensample(23,10000,law.pars=c(8,6,2)) res$law res$law.pars mean(res$sample) sd(res$sample)