Generates deviates from a Generalized Pareto distribution. (D.B. Baird)
Options
| NVALUES = scalar | Number of values to simulate, default 1 |
|---|---|
| THRESHOLD = scalar | Threshold parameter for the distribution, default 0 |
| SIGMA = scalar | Scale parameter for the distribution, default 1 |
| ETA = scalar | Shape parameter for the distribution, default 0 |
| SEED = scalar | Seed for random number generation, default 0 – use the system clock |
Parameter
| NUMBER = variate or scalar | Random deviates generated from the specified distribution |
|---|
Options: NVALUES, THRESHOLD, SIGMA, ETA, SEED
Parameters: NUMBER
Description
GRGPARETO generates deviates from a Generalized Pareto distribution using the parameters specified in the THRESHOLD, SIGMA and ETA options. The number of values in the result is specified using the NVALUES option, and the deviates are returned in the NUMBER parameter. If you want repeatable results, set the SEED option to a large positive value, otherwise a different random set will be generated on each call.
Method
The function for the CDF of the Generalized Pareto distribution is used to transform random uniform deviates to random Generalized Pareto deviates.
Action of Restrict
Any restrictions are ignored.
Reference
Coles, Stuart (2001). An introduction to statistical modelling of extreme values. Springer-Verlag: London.
Example
GRGPARETO [NVALUES=100;THRESHOLD=10;SIGMA=2;ETA=0;SEED=5567] X