test_that("GPD", { dist <- dist_gpd(location = c(0, .5, 0), scale = c(1, 2, 3), shape = c(0, 0.1, 1.1)) # Mean expect_equal(mean(dist), c( 1, 0.5 + 2 / 0.9, # location + scale/(1 - shape) Inf # Since shape >= 1 ), tolerance = 0.0001) # Median expect_equal(median(dist), c( -log(0.5), 0.5 + 2 * (2^0.1 - 1) / 0.1, # location + scale * (2^shape - 1) / shape 3 * (2^1.1 - 1) / 1.1 # location + scale * (2^shape - 1) / shape ), tolerance = 0.0001) expect_equal(median(dist), quantile(dist, 0.5)) # Variance expect_equal(distributional::variance(dist), c( 1, 2^2 / 0.9^2 / (1 - 2 * 0.1), # scale^2 / (1 - shape)^2 / (1 - 2 * shape) Inf # since shape >= 0.5 ), tolerance = 0.0001) # Density at <- (0:20) / 10 + 1e-8 # Avoiding being on the boundary where evd gives wrong result expect_equal(density(dist, at), list( evd::dgpd(at, loc = 0, scale = 1, shape = 0), evd::dgpd(at, loc = 0.5, scale = 2, shape = 0.1), evd::dgpd(at, loc = 0, scale = 3, shape = 1.1) )) # CDF expect_equal(distributional::cdf(dist, at), list( evd::pgpd(at, loc = 0, scale = 1, shape = 0), evd::pgpd(at, loc = 0.5, scale = 2, shape = 0.1), evd::pgpd(at, loc = 0, scale = 3, shape = 1.1) )) # Quantiles p <- (1:19) / 20 expect_equal(quantile(dist, p = p), list( evd::qgpd(p = p, loc = 0, scale = 1, shape = 0), evd::qgpd(p = p, loc = 0.5, scale = 2, shape = 0.1), evd::qgpd(p = p, loc = 0, scale = 3, shape = 1.1) )) # Generate set.seed(123) rand_dist <- distributional::generate(dist, times = 1e6) expect_equal(lapply(rand_dist[1:2], mean) |> unlist(), mean(dist)[1:2], tolerance = 0.01 ) expect_equal(lapply(rand_dist[1:2], var) |> unlist(), distributional::variance(dist)[1:2], tolerance = 0.01 ) expect_equal(lapply(rand_dist, median) |> unlist(), median(dist), tolerance = 0.01 ) })