gp.hpp File Reference

#include <memory_resource>
#include <nk/value/value.hpp>
#include <tuple>

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Functions
Value	nk::stats::gppdf (const Value &x, double k, double sigma, double theta, std::pmr::memory_resource *mr=nullptr)
	Generalised Pareto pdf (y = gppdf(x, k, sigma, theta)).
Value	nk::stats::gpcdf (const Value &x, double k, double sigma, double theta, std::pmr::memory_resource *mr=nullptr)
	Generalised Pareto cdf (p = gpcdf(x, k, sigma, theta)).
Value	nk::stats::gpinv (const Value &p, double k, double sigma, double theta, std::pmr::memory_resource *mr=nullptr)
	Generalised Pareto inverse cdf (x = gpinv(p, k, sigma, theta)).
Value	nk::stats::gprnd (::nk::ops::RngContext &rng, double k, double sigma, double theta, size_t rows=1, size_t cols=1, std::pmr::memory_resource *mr=nullptr)
	Generalised Pareto random samples (r = gprnd(k, sigma, theta, rows, cols)).
std::tuple< double, double >	nk::stats::gpstat (double k, double sigma, double theta)
	Generalised Pareto mean and variance ([m, v] = gpstat(k, sigma, theta)).
Value	nk::stats::gpfit (const Value &x, std::pmr::memory_resource *mr=nullptr)
	Generalised Pareto MLE fit ([khat, sigmahat] = gpfit(x)).
Value	nk::stats::gpfit_ci (const Value &x, double alpha=0.05, std::pmr::memory_resource *mr=nullptr)
	95% Wald CI for gpfit (pci = gpfit_ci(x, alpha)).