Hi, 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. wt _________________________________________________________________ Die Vielfalt der Optionen lässt Sie im Internet erfolgreich recherchieren. ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
