pdfGenPareto ============================================== Purpose ---------------- Computes the probability density function for the Generalized Pareto distribution. Format ---------------- .. function:: y = pdfGenPareto(x, a, sigma, k) :param x: data :type x: NxK matrix, Nx1 vector or scalar. :param a: Location parameter, ExE conformable with *x*. :type a: NxK matrix, Nx1 vector or scalar :param sigma: Scale parameter, ExE conformable with *x*. *sigma* must be greater than 0. :type sigma: NxK matrix, Nx1 vector or scalar :param k: Shape parameter, ExE conformable with *x*. :type k: NxK matrix, Nx1 vector or scalar :return p: the probability density function for the Generalized Pareto distribution for the elements in *x*. :rtype p: NxK matrix, Nx1 vector or scalar Remarks ------- The probability density function for the Generalized Pareto distribution is defined as .. math:: f(x)= \begin{cases} \frac{1}{\sigma}\big(1 + k \frac{x-\mu}{\sigma} \big)^{-1 - 1/k},& k\neq 0\\ \frac{1}{\sigma}exp(\frac{x-\mu}{\sigma}), & k = 0 \end{cases} .. seealso:: Functions :func:cdfGenPareto