fit.POT {QRMlib}R Documentation

Peaks-over-Threshold Model

Description

fits the POT (peaks-over-threshold) model to a point process of class PP or MPP

Usage

fit.POT(PP, markdens = "GPD")

Arguments

PP a point process object of class PP or MPP
markdens (optional) name of density of mark distribution, currently must be "GPD"

Details

see pages 301-305 of QRM. Note that if point process is of class PP then function simply esitmates the rate of a homogeneous Poisson process.

Value

a list containing parameters of fitted POT model

par.ests vector of parameter estimates
par.ses vector of parameter std deviations
ll.max logliklihood maximum

References

see pages 301-305 of QRM

See Also

fit.GPD, extremalPP

Examples

data(sp500);
sp500.nreturns <- -mk.returns(sp500); 
window <- (seriesPositions(sp500.nreturns) > 
         timeDate("12/31/1995",format="%m/%d/%Y")); 
sp500.nreturns <- sp500.nreturns[window];
tmp <- extremalPP(sp500.nreturns,ne=100); 
mod1 <- fit.POT(tmp); 

[Package QRMlib version 1.4.4 Index]