Fit the GP Distribution {RFA} | R Documentation |
Maximum Likelihood, Unbiased Probability Weigthed Moments, Biased Probability Weighted Moments and Moments Estimator to fit Peaks Over a Threshold to a GP distribution.
fitgpd(data, threshold, method, ...)
data |
A numeric vector. |
threshold |
A numeric value giving the threshold for the GPD |
method |
A string giving the names of the estimator. It can be
'mle' , 'moments' , 'pwmu' and 'pwmb' for
the maximum likelihood,
moments, unbiased probability weighted moments, biased probability
weigthed moments estimators respectively. |
... |
Other optional arguments to be passed to
gpdmoments , gpdpwmu ,
gpdpwmb and gpdmle functions. |
This function returns a list with composants:
estimate |
A vector containing the maximum likelihood estimates. |
std.err |
A vector containing the standard errors. |
fixed |
A vector containing the parameters of the model that have been held fixed. |
param |
A vector containing all parameters (optimized and fixed). |
deviance |
The deviance at the maximum likelihood estimates. |
corr |
The correlation matrix - for the mle method. |
convergence, counts, message |
Components taken from the
list returned by optim - for the mle method. |
threshold |
The threshold passed to argument threshold . |
nhigh |
The number of exceedences. |
nat, pat |
The number and proportion of exceedences. |
data |
The data passed to the argument data . |
exceedances |
The exceedences, or the maxima of the clusters of exceedences. |
scale |
The scale parameter for the fitted generalized Pareto distribution. |
call |
The call of the current function. |
The Maximum Likelihood estimator is obtained through a sligthly
modified version of Alec Stephenson's fpot.norm
function in the
evd
package.