6.3.5.1.6. statsmodels.sandbox.distributions.genpareto.paramstopot¶

statsmodels.sandbox.distributions.genpareto.paramstopot(thresh, shape, scale)[source]¶

transform shape scale for peak over threshold

y = x-u|x>u ~ GPD(k, sigma-k*u) if x ~ GPD(k, sigma) notation of de Zea Bermudez, Kotz k, sigma is shape, scale