mgpd (1.99)

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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)

Maintainer: Pal Rakonczai
Author(s): Pal Rakonczai

License: GPL-3

Uses: corpcor, evd, fields, numDeriv

Released about 8 years ago.

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