fit.POT {QRMlib} | R Documentation |
fits the POT (peaks-over-threshold) model to a point process of class PP or MPP
fit.POT(PP, markdens = "GPD")
PP |
a point process object of class PP or MPP |
markdens |
(optional) name of density of mark distribution, currently must be "GPD" |
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.
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 |
see pages 301-305 of QRM
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);