rgpd {rust}

Generalized Pareto simulation

Description

Simulates a sample of size m from a generalized Pareto distribution.

Usage

rgpd(m = 1, sigma = 1, xi = 0)

Arguments

m

A numeric scalar. The size of sample required.

sigma

A numeric scalar. The generalized Pareto scale parameter \sigma.

xi

A numeric scalar. The generalized Pareto shape parameter \xi.

Value

A numeric vector. A generalized Pareto sample of size m.

Examples

# Sample data from a GP(sigma, xi) distribution
gpd_data <- rgpd(m = 100, xi = 0, sigma = 1)