Function Reference: gpcdf

statistics: p = gpcdf (x)
statistics: p = gpcdf (x, shape)
statistics: p = gpcdf (x, shape, scale)
statistics: p = gpcdf (x, shape, scale, location)
statistics: p = gpcdf (…, "upper")

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