GeneralizedPareto

class GeneralizedPareto(location=None, scale=None, shape=None)[source]

Bases: BaseSingleModel

Represents a Generalized Pareto distribution (GPD).

__init__(location=None, scale=None, shape=None)[source]

Initialize an object.

Parameters:

  • location (N x 1 numpy array, optional) – location of the distribution. The default is None.

  • scale (N x 1 numpy array, optional) – scale of the distribution. The default is None.

  • shape (N x 1 numpy array, optional) – shape of the distribution. The default is None.

Return type:

None.

Methods

__init__

Initialize an object.

pdf

Multi-variate probability density function for this distribution.

sample

Draw a sample from the current mixture model.
pdf(x)[source]

Multi-variate probability density function for this distribution.

Returns:

PDF value of the state x.

Return type:

float

sample(rng=None, num_samples=None)[source]

Draw a sample from the current mixture model.

Parameters:

rng (numpy random generator, optional) – Random number generator to use. If none is given then the numpy default is used. The default is None.

Returns:

randomly sampled numpy array of the same shape as the mean.

Return type:

numpy array