gluonts.nursery.spliced_binned_pareto.genpareto module

class gluonts.nursery.spliced_binned_pareto.genpareto.GenPareto(xi, beta, validate_args=None)[source]

Bases: torch.distributions.distribution.Distribution

Generalised Pareto distribution.

Parameters
  • xi – Tensor containing the xi (heaviness) shape parameters

  • beta – Tensor containing the beta scale parameters

arg_constraints = {'beta': GreaterThan(lower_bound=0.0), 'xi': GreaterThan(lower_bound=0.0)}
cdf(x)[source]

Returns the cumulative density/mass function evaluated at value.

Parameters

value (Tensor) –

icdf(value)[source]

Returns the inverse cumulative density/mass function evaluated at value.

Parameters

value (Tensor) –

log_prob(x)[source]

Returns the log of the probability density/mass function evaluated at value.

Parameters

value (Tensor) –

property mean

Returns the mean of the distribution.

property stddev

Returns the standard deviation of the distribution.

property variance

Returns the variance of the distribution.