[m, v] = gpstat (k, sigma, theta) returns the mean and variance of the generalized Pareto distribution with shape parameter k, scale parameter sigma, and location parameter theta.

The size of m (mean) and v (variance) is the common size of the input arguments. A scalar input functions as a constant matrix of the same size as the other inputs.

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

Source Code: gpstat