Add generalized pareto distribution

Do you think it is worth adding the Generalized Pareto Distribution (GPD) to Stan? I am doing some Extreme Value Theory analyses and for some Peak Over Threshold problems, a GPD would be a good fit. I read the excellent case study by Aki and I wonder if that effort could be included in the standard library so that to use it with other interfaces (brms and the like).


Would you like to take a crack at adding it? First step is to create an issue in the math library.

I’m not looking at a reference to it atm, are the derivatives known or easy to compute? That will provide an additional speed benefit.

I can definitely open an issue. I am not competent to work on it directly, I fear. But, as far as I know, most of the work has been done by Aki already.

EDIT: Issue has been opened here

The functions all seem to be fairly basic, and shouldn’t be too tricky to implement with gradients. I can take a crack at this over the next week or two


I was wondering if you had the opportunity to look at the functions. I am very much looking forward to testing it!

Ah thanks for prompting me on this! It fell off the to-do list, but will get onto it over the next few days.

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(hehe a very very friendly) ping!