fextreme {evd} | R Documentation |
Maximum-likelihood fitting for the distribution of the maximum/minimum of a given number of independent variables from a specified distribution.
fextreme(x, start, densfun, distnfun, ..., distn, mlen = 1, largest = TRUE, std.err = TRUE, corr = FALSE, method = "Nelder-Mead")
x |
A numeric vector. |
start |
A named list giving the initial values for the parameters over which the likelihood is to be maximized. |
densfun, distnfun |
Density and distribution function of the specified distribution. |
... |
Additional parameters, either for the specified
distribution or for the optimization function optim .
If parameters of the distribution are included they will be
held fixed at the values given (see Examples). If
parameters of the distribution are not included either here
or as a named component in start they will be held
fixed at the default values specified in the corresponding
density and distribution functions (assuming they exist; an
error will be generated otherwise). |
distn |
A character string, optionally specified as an alternative
to densfun and distnfun such that the density and
distribution functions are formed upon the addition of the
prefixes d and p respectively. |
mlen |
The number of independent variables. |
largest |
Logical; if TRUE (default) use maxima,
otherwise minima. |
std.err |
Logical; if TRUE (the default), the standard
errors are returned. |
corr |
Logical; if TRUE , the correlation matrix is
returned. |
method |
The optimization method (see optim for
details). |
Maximization of the log-likelihood is performed. The estimated standard errors are taken from the observed information, calculated by a numerical approximation.
If the density and distribution functions are user defined, the order
of the arguments must mimic those in R base (i.e. data first,
parameters second).
Density functions must have log
arguments.
Returns an object of class c("extreme","evd")
.
The generic accessor functions fitted
(or
fitted.values
), std.errors
,
deviance
, logLik
and
AIC
extract various features of the
returned object.
The function anova
compares nested models.
An object of class c("extreme","evd")
is a list containing
at most the following components
estimate |
A vector containing the maximum likelihood estimates. |
std.err |
A vector containing the standard errors. |
deviance |
The deviance at the maximum likelihood estimates. |
corr |
The correlation matrix. |
var.cov |
The variance covariance matrix. |
convergence, counts, message |
Components taken from the
list returned by optim . |
call |
The call of the current function. |
data |
The data passed to the argument x . |
n |
The length of x . |
uvdata <- rextreme(100, qnorm, mean = 0.56, mlen = 365) fextreme(uvdata, list(mean = 0, sd = 1), distn = "norm", mlen = 365) fextreme(uvdata, list(rate = 1), distn = "exp", mlen = 365) fextreme(uvdata, list(scale = 1), shape = 1, distn = "gamma", mlen = 365) fextreme(uvdata, list(shape = 1, scale = 1), distn = "gamma", mlen = 365)