gpstat
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