implement GPD from wikipedia definition with 3 params

awslabs / gluonts

Probabilistic time series modeling in Python

https://ts.gluon.ai

Apache License 2.0

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implement GPD from wikipedia definition with 3 params #3218

Open kashif opened 2 months ago

kashif commented 2 months ago

Implemeneted the Generalized Pareto Distribution class from the Wikipedia definition and moved the original implementation as Exponentiated GP (ExGeneralizedPareto)

kashif commented 2 months ago

@elenaehrlich would you have some time to review this PR?