Function Reference: gpstat

statistics: [m, v] = gpstat (shape, scale, location)

Mean and variance of the generalized Pareto distribution.

[m, v] = gpstat (shape, scale, location) returns the mean and variance of the generalized Pareto distribution with shape, scale, and location parameeters.

The default value for location is 0.

When shape = 0 and location = 0, the generalized Pareto distribution is equivalent to the exponential distribution. When shape > 0 and location = scale / shape, the generalized Pareto distribution is equivalent to the Pareto distribution. The mean of the generalized Pareto distribution is not finite when shape >= 1, and the variance is not finite when shape >= 1/2. When shape >= 0, the generalized Pareto distribution has positive density for x > location, or, when shape < 0, for 0 <= (x - location) / scale <= -1 / shape.

See also: gpcdf, gpinv, gppdf, gprnd, gpfit, gplike

Source Code: gpstat