law0023.GeneralizedPareto: The Generalized Pareto Distribution
Description
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.
Arguments
Details
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 = \(\mu\), sigma = \(\sigma\) and xi = \(\xi\) has density:
$$ \frac{1}{\sigma}\left(1+\frac{\xi(x-\mu)}{\sigma} \right)^{(-\frac{1}{\xi}-1)} $$
where \(x \ge \mu\) if \(\xi \ge 0\) and \(x \le \mu - \sigma/\xi\) if \(\xi < 0\).
References
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