 Generalized Pareto distribution

For scale $\sigma >0$ and shape $\xi$, the generalized Pareto distribution on nonnegative excesses has cumulative distribution functionThe case $\xi =0$ is the continuous limit $1-e^{-y/\sigma }$. Positive $\xi$ gives a power-law tail, zero gives an exponential distribution, and negative $\xi$ gives a finite upper endpoint $-\sigma /\xi$. Its role in modelling high-threshold excesses is explained by the Pickands-Balkema-de Haan theorem.