gp.hpp

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// toolboxes/stats/include/nk/stats/distributions/gp.hpp
//
// Generalized Pareto distribution.
 
#pragma once
 
#include <memory_resource>
#include <nk/value/value.hpp>
 
#include <tuple>
 
namespace nk {

 namespace ops { class RngContext; } }
 
namespace nk::stats {

Value gppdf(const Value &x, double k, double sigma, double theta,
            std::pmr::memory_resource *mr = nullptr);

Value gpcdf(const Value &x, double k, double sigma, double theta,
            std::pmr::memory_resource *mr = nullptr);

Value gpinv(const Value &p, double k, double sigma, double theta,
            std::pmr::memory_resource *mr = nullptr);

Value 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);

std::tuple<double, double>
gpstat(double k, double sigma, double theta);

Value gpfit(const Value &x, std::pmr::memory_resource *mr = nullptr);

Value gpfit_ci(const Value &x, double alpha = 0.05,
               std::pmr::memory_resource *mr = nullptr);
 

} // namespace nk::stats