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 …

Add generalized pareto distribution

Jack_Caster February 1, 2022, 1:58pm 3

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

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Add generalized pareto distribution

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