bugGNU Octave - Bugs: bug #54009, [octave forge] (statistics)...

 
 

bug #54009: [octave forge] (statistics) incorrect result for gppdf

Submitted by:  Muhali <muhali>
Submitted on:  Wed 30 May 2018 11:20:57 AM UTC  
 
Category:  Octave Forge Package Severity:  3 - Normal
Priority:  5 - Normal Item Group:  Incorrect Result
Status:  None Assigned to:  None
Originator Name:  Open/Closed:  Open
Release:  4.4.0 Operating System:  Any

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Wed 30 May 2018 11:20:57 AM UTC, original submission:

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.

Muhali <muhali>

 

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    Follow 2 latest changes.

    Date Changed by Updated Field Previous Value => Replaced by
    2018-06-04 mtmiller Carbon-CopyRemoved 80942 => -
    2018-06-04 mtmiller Summary(statistics) incorrect result for gppdf => [octave forge] (statistics) incorrect result for gppdf

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