fit.GEV {QRMlib}R Documentation

Fit Generalized Extreme Value Distribution

Description

fits generalized extreme value distribution (GEV) to block maxima data

Usage

fit.GEV(maxima)

Arguments

maxima block maxima data

Details

see pages 271-272 of QRM

Value

list containing parameter estimates, standard errors and details of the fit

See Also

pGEV, pGPD, fit.GPD

Examples

data(nasdaq);
nreturns <- -mk.returns(nasdaq); 
monthly.maxima <- aggregateMonthlySeries(nreturns,FUN=max); 
monthly.maxima <- seriesData(monthly.maxima) 
mod1 <- fit.GEV(monthly.maxima); 

[Package QRMlib version 1.4.4 Index]