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)


Reference manual

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1.99 by Pal Rakonczai, 10 years ago

Browse source code at

Authors: Pal Rakonczai

Documentation:   PDF Manual  

Task views: Probability Distributions

GPL-3 license

Depends on evd, numDeriv, corpcor, fields

See at CRAN