Generalized Pareto distribution
Family of probability distributions often used to model tails or extreme values
Generalized Pareto distribution
In statistics, the generalized Pareto distribution (GPD) is a family of continuous probability distributions. It is often used to model the tails of another distribution. It is specified by three parameters: location μ {\displaystyle \mu } , scale σ {\displaystyle \sigma } , and shape ξ {\displaystyle \xi } . Sometimes it is specified by only scale and shape and sometimes only by its shape parameter. Some references give the shape parameter as κ = − ξ {\displaystyle \kappa =-\xi \,} . This parameterization was introduced by James Pickands III .
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