[R] evir: generalized pareto dist

From: Werner Tell <wtell67_at_hotmail.com>
Date: Mon 05 Jun 2006 - 21:56:46 EST


I'm fitting a generalized Pareto distribution to POT exceedances of a data set. The practical stuff works ok, but I have a question regarding theory. Is there an equation relating parameters of a gpd tail to its (first) moments? According to theory for certain parameters either the first moment does not exist or the distribution has an upper bound, but I haven't found the mentioned relation about moments in the literatur.

Thanks a lot.

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