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gprnd

Generalized Pareto random numbers

Syntax

R = gprnd(K,sigma,theta)
R = gprnd(K,sigma,theta,m,n,...)
R = gprnd(K,sigma,theta,[m,n,...])

Description

R = gprnd(K,sigma,theta) returns an array of random numbers chosen from the generalized Pareto (GP) distribution with tail index (shape) parameter K, scale parameter sigma, and threshold (location) parameter, theta. The size of R is the common size of the input arguments if all are arrays. If any parameter is a scalar, the size of R is the size of the other parameters.

R = gprnd(K,sigma,theta,m,n,...) or R = gprnd(K,sigma,theta,[m,n,...]) generates an m-by-n-by-... array. The K, sigma, theta parameters can each be scalars or arrays of the same size as R.

When K = 0 and theta = 0, the GP is equivalent to the exponential distribution. When K > 0 and theta = sigma/K, the GP is equivalent to the Pareto distribution. The mean of the GP is not finite when K1, and the variance is not finite when K1/2. When K0, the GP has positive density for

X > theta, or, when

References

[1] Embrechts, P., C. Klüppelberg, and T. Mikosch. Modelling Extremal Events for Insurance and Finance. New York: Springer, 1997.

[2] Kotz, S., and S. Nadarajah. Extreme Value Distributions: Theory and Applications. London: Imperial College Press, 2000.

See Also

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