mgpd: 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)

Version: 1.99
Depends: R (≥ 2.10.1), evd, numDeriv, corpcor, fields
Published: 2012-03-19
Author: Pal Rakonczai
Maintainer: Pal Rakonczai <rakonczai.p at gmail.com>
License: GPL-3
NeedsCompilation: no
In views: Distributions
CRAN checks: mgpd results

Downloads:

Reference manual: mgpd.pdf
Package source: mgpd_1.99.tar.gz
OS X binary: mgpd_1.99.tgz
Windows binary: mgpd_1.99.zip
Old sources: mgpd archive