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Generalized Pareto distribution : ウィキペディア英語版 | Generalized Pareto distribution
In statistics, the generalized Pareto distribution (GPD) is a family of continuous probability distributions. It is often used to model the tails of another distribution. It is specified by three parameters: location , scale , and shape . Sometimes it is specified by only scale and shape and sometimes only by its shape parameter. Some references give the shape parameter as . ==Definition== The standard cumulative distribution function (cdf) of the GPD is defined by : where the support is for and for . :
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