Dear community members, I'm trying to apply Extreme Value Theory to measure operational risks using Mathematica and I'd like to generate some random numbers following a Generalized Pareto Distribution with 3 parameters: location, scale and shape. I know that Mathematica has 4 different types of Pareto Distribution but as far as I know they are different from the Generalized Pareto one. Does anybody know how I could do it? Many thanks in advance, Ruben
CDF[ParetoDistribution[\[Sigma], 1/\[Xi], \[Gamma], \[Mu]], x]
gives the CDF as it says under 'Characterization' on the Wikipedia page. You can use RandomVariate to create random numbers based on this distribution.
Dear Asim, thanks a lot for the answer. Regards, Ruben
