Generalized Pareto Distribution

Parameters

- continuous shape parameter

- continuous scale parameter (

)

- continuous location parameter

Domain

Probability Density Function

Cumulative Distribution Function

Worksheet and VBA Functions

The following worksheet and VBA functions are available for this distribution:

Description VBA Functions Worksheet Functions

Distribution Fitting - =DistFit("GenPareto";Data)

Probability Density Function GenParetoPdf(x,k,sigma,mu) =GenParetoPdf(k;sigma;mu) =DistPdf("GenPareto(k;sigma;mu)";x)

Cumulative Distribution Function GenParetoCdf(x,k,sigma,mu) =GenParetoCdf(k;sigma;mu) =DistCdf("GenPareto(k;sigma;mu)";x)

Survival Function GenParetoSurv(x,k,sigma,mu) =DistSurv("GenPareto(k;sigma;mu)";x)

Hazard Function GenParetoHaz(x,k,sigma,mu) =GenParetoHaz(k;sigma;mu) =DistHaz("GenPareto(k;sigma;mu)";x)

Cumulative Hazard Function GenParetoCumHaz(x,k,sigma,mu) =DistCumHaz("GenPareto(k;sigma;mu)";x)

Inverse CDF (Quantile Function) GenParetoInv(P,k,sigma,mu) =GenParetoInv(k;sigma;mu) =DistInv("GenPareto(k;sigma;mu)";P)

Random Numbers GenParetoRand(k,sigma,mu) =GenParetoRand(k;sigma;mu) =DistRand("GenPareto(k;sigma;mu)")

Mode GenParetoMode(k,sigma,mu) =DistMode("GenPareto(k;sigma;mu)")

Mean GenParetoMean(k,sigma,mu) =GenParetoMean(k;sigma;mu) =DistMean("GenPareto(k;sigma;mu)")

Variance GenParetoVar(k,sigma,mu) =GenParetoVar(k;sigma;mu) =DistVar("GenPareto(k;sigma;mu)")

Standard Deviation GenParetoStdev(k,sigma,mu) =GenParetoStdev(k;sigma;mu) =DistStdev("GenPareto(k;sigma;mu)")

Skewness GenParetoSkew(k,sigma,mu) =DistSkew("GenPareto(k;sigma;mu)")

(Excess) Kurtosis GenParetoKurt(k,sigma,mu) =DistKurt("GenPareto(k;sigma;mu)")