mgpd: Functions for multivariate generalized Pareto distribution (MGPD of Type II)

Extends distribution and density functions to parametric multivariate generalized Pareto distributions (MGPD of Type II), and provides fitting functions which calculate maximum likelihood estimates for bivariate and trivariate models. (Help is under progress)


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Reference manual

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install.packages("mgpd")

1.99 by Pal Rakonczai, 10 years ago


Browse source code at https://github.com/cran/mgpd


Authors: Pal Rakonczai


Documentation:   PDF Manual  


Task views: Probability Distributions


GPL-3 license


Depends on evd, numDeriv, corpcor, fields


See at CRAN