Probabilities.GenParetoCDF Function

Generalized Pareto cumulative distribution function (CDF).

Pascal

function GenParetoCDF(x: double; k: double; Mu: double; sigma: double): double; overload;

Parameters	Description
x	Distribution domain, real value, if k >= 0 valid on open interval (Mu,Inf), if k < 0, valid if 0 <= (x-Mu)/sigma <= -1/k.
k	Defines distribution shape parameter, real value.
Mu	Defines distribution location parameter, real value.
sigma	Defines distribution scale parameter, positive real value.

the Generalized Pareto cumulative distribution function (CDF) for value x using the parameters k, Mu and sigma.

Calculates the Generalized Pareto distribution CDF, defined by the equation: