gprnd
Random arrays from the generalized Pareto distribution.
r = gprnd (k, sigma, mu)
returns an array of
random numbers chosen from the generalized Pareto distribution with shape
parameter k, scale parameter sigma, and location parameter
mu. The size of r is the common size of k, sigma,
and mu. A scalar input functions as a constant matrix of the same size
as the other inputs.
When called with a single size argument, gprnd
returns a square
matrix with the dimension specified. When called with more than one scalar
argument, the first two arguments are taken as the number of rows and columns
and any further arguments specify additional matrix dimensions. The size may
also be specified with a row vector of dimensions, sz.
When k = 0
and mu = 0
, the Generalized Pareto CDF
is equivalent to the exponential distribution. When k > 0
and
mu = k / k
the Generalized Pareto is equivalent to
the Pareto distribution. The mean of the Generalized Pareto is not finite
when k >= 1
and the variance is not finite when
k >= 1/2
. When k >= 0
, the Generalized Pareto
has positive density for x > mu
, or, when
mu < 0
, for
0 <= (x - mu) / sigma <= -1 / k
.
Further information about the generalized Pareto distribution can be found at https://en.wikipedia.org/wiki/Generalized_Pareto_distribution
See also: gpcdf, gpinv, gppdf, gpfit, gplike, gpstat
Source Code: gprnd