dgev {Rsafd} | R Documentation |
Density, cumulative distribution function, quantiles and random sample generation for the Generalized Extreme Value (GEV) distribution
dgev(x, m=0, lambda = 1, xi = 0) pgev(q, m=0, lambda = 1, xi = 0) qgev(p, m=0, lambda = 1, xi = 0) rgev(n, m=0, lambda = 1, xi = 0)
x |
numeric vector. Missing values (NA's) are allowed |
q |
vector of quantiles. Missing values (NA's) are allowed |
p |
vector of probabilities. Missing values (NA's) are allowed |
n |
sample size. If |
Optional Arguments |
|
m |
Location parameter. Can be a vector (see details) |
lambda |
Scale parameter. Can be a vector (see details) |
xi |
Shape parameter (note the sign convention described in |
The length of vectors m
, lambda
, and xi
should either be 1 or equal to the length of the vectors x
, q
, p
, or n
. Missing values and NA's are not allowed.
Density (dgev
), cumulative distribution function (pgev
),
quantile (qgev
), or random sample (rgev
)
for the Generalized Pareto Distribution with parameters
m
, lambda
, and xi
.
SIDE EFFECTS The function rgpd
causes the creation of .Random.seed
if it does not already exist, otherwise its value is updated.
Rene Carmona, rcarmona@princeton.edu
R. A. Carmona: Statistical Analysis of Financial Data in S-Plus, (2004) Springer Verlag
rgev
, gpd.lmom
, gpd.ml
x <- rgev(200) # Generates a sample of size 200 from # the Gumbel distribution # Evaluation at x = 1.0 of GEV density functions # with different parameters m <- c(0,0,0) lambda <- c(1.3, 1.0, .7) xi <- c(-0.2,0.0,0.2) x <- rep(1.0,3) pgev(x,m,lambda,xi)