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Fitting a Generalized Pareto Distribution in Mathematica

Posted 7 years ago
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Dear all, does anybody have any examples about how to fit data to a Generalized Pareto distribution in Mathematica? Many thanks in advance, Ruben

There is an example of this in the documentation for ParetoDistribution under the "Scope" section:

(* Generate Some Random Data *)
sample = RandomVariate[ParetoDistribution[2, 5], 10^3];

(* Use EstimatedDistribution to Find the Most Likely Parameters For ParetoDistribution *)
edist = EstimatedDistribution[sample, ParetoDistribution[k, \[Alpha]]]

(* Compare Them in a Plot *)
Show[Histogram[sample, {2, 6, 0.2}, "PDF"], 
 Plot[PDF[TruncatedDistribution[{2, 6}, edist], x], {x, 2, 6}, 
  PlotStyle -> Thick, PlotRange -> {0, 2}]]
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