gpcdf
Generalized Pareto cumulative distribution function (cdf).
Compute the cumulative distribution function (CDF) at x of the generalized Pareto distribution with parameters location, scale, and shape. The size of P is the common size of the input arguments. A scalar input functions as a constant matrix of the same size as the other inputs.
Default values for shape, scale, and location are 0, 1, and 0, respectively.
When shape = 0
and location = 0
, the Generalized
Pareto CDF is equivalent to the exponential distribution.
When shape > 0
and location = shape /
shape
the Generalized Pareto is equivalent to the Pareto distribution.
The mean of the Generalized Pareto is not finite when shape >= 1
and the variance is not finite when shape >= 1/2
. When
shape >= 0
, the Generalized Pareto has positive density for
x > location
, or, when location < 0
,for
0 <= (x - location) / scale <= -1 / shape
.
[…] = gpcdf(…, "upper")
returns the upper tail probability
of the generalized Pareto distribution.
See also: gpinv, gppdf, gprnd, gpfit, gplike, gpstat
Source Code: gpcdf