[Octave-bug-tracker] [bug #54009] (statistics) incorrect result for gppdf

[Muhali]

URL:
  <http://savannah.gnu.org/bugs/?54009>

                 Summary: (statistics) incorrect result for gppdf
                 Project: GNU Octave
            Submitted by: muhali
            Submitted on: Wed 30 May 2018 04:20:57 AM PDT
                Category: Octave Forge Package
                Severity: 3 - Normal
                Priority: 5 - Normal
              Item Group: Incorrect Result
                  Status: None
             Assigned to: None
         Originator Name: 
        Originator Email: 
             Open/Closed: Open
         Discussion Lock: Any
                 Release: 4.4.0
        Operating System: Any

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Details:

The Generalized Pareto function gppdf produces incorrect results. It misses a
factor 1/sigma, which is evident if one compares the relevant line of code

pdf(j) = (shape(j) .* z(j) + 1).^(-(shape(j) + 1) ./ shape(j));

with (e.g.) the corresponding Wikipedia entry
<https://en.wikipedia.org/wiki/Generalized_Pareto_distribution>.




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