r = gprnd (k, sigma, theta) returns an array of random numbers chosen from the generalized Pareto distribution with shape parameter k, scale parameter sigma, and location parameter theta. The size of r is the common size of k, sigma, and theta. A scalar input functions as a constant matrix of the same size as the other inputs.

When called with a single size argument, gprnd returns a square matrix with the dimension specified. When called with more than one scalar argument, the first two arguments are taken as the number of rows and columns and any further arguments specify additional matrix dimensions. The size may also be specified with a row vector of dimensions, sz.

When k = 0 and theta = 0, the Generalized Pareto is equivalent to the exponential distribution. When k > 0 and theta = k / k the Generalized Pareto is equivalent to the Pareto distribution. The mean of the Generalized Pareto is not finite when k >= 1 and the variance is not finite when k >= 1/2. When k >= 0, the Generalized Pareto has positive density for x > theta, or, when theta < 0, for 0 <= (x - theta) / sigma <= -1 / k.

Further information about the generalized Pareto distribution can be found at https://en.wikipedia.org/wiki/Generalized_Pareto_distribution

See also: gpcdf, gpinv, gppdf, gpfit, gplike, gpstat

Source Code: gprnd