public static double cdf ( double val , double mu , double sigma , double xi ) { val = ( val - mu ) / sigma ; // Check support: if ( val < 0 ) { return 0. ; } if ( xi < 0 && val > - 1. / xi ) { return 1. ; } return 1 - FastMath . pow ( 1 + xi * val , - 1. / xi ) ; }
CDF of GPD distribution