fit.GEV {QRMlib} | R Documentation |
fits generalized extreme value distribution (GEV) to block maxima data
fit.GEV(maxima)
maxima |
block maxima data |
see pages 271-272 of QRM
list containing parameter estimates, standard errors and details of the fit
data(nasdaq); nreturns <- -mk.returns(nasdaq); monthly.maxima <- aggregateMonthlySeries(nreturns,FUN=max); monthly.maxima <- seriesData(monthly.maxima) mod1 <- fit.GEV(monthly.maxima);