Operations Research topics: SAS/OR,
SAS Optimization, and SAS Simulation Studio

Extreme Value Theory

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Extreme Value Theory

How could I create a mean excess plot?

I want to know if there is a form to work with the Generalised Pareto Dsitribution in SAS? How to apply Kolmorov-Smirnov or Anderson-D tests to this distribution given a data set and find the estimation for the location, shape and scale parameter.

How can I generate random numbers belonging to this distribution?
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