boundexcesses <- function(paretoparam){ # Compute upper bound of excesses for a given array of Generalized Pareto # distribution parameters # # Description: # # Returns upper bound of excesses # # Usage: boundexcesses(paretoparam) # # Input: # # paretoparam: 2 x p x q array with scale (first level of the array) and # shape (second level of the array) parameters # # Output: # # A matrix containing the upper bound of excesses # # Authors: # # Caio Coelho 28 Feb 2006 paretoparam[2,,][paretoparam[2,,]>=-0.008]<-0 b<--(paretoparam[1,,]/paretoparam[2,,]) b[b==-Inf]<-10000 b }