Description Usage Arguments Details Value Author(s) References See Also
View source: R/Distributions.r
the function returns the parameters' estimates and the variances of the estimates (if required) of the generalized extreme value distribution for a given dataset of extreme values.
1 |
data |
A vector of extreme values. |
method |
The optimization method (see |
start |
A named list with the initial values for the parameters over which the likelihood is to be maximized. |
varest |
Logical; if |
If start
is omitted the routine is computing the
starting values using moment estimators.
The returned object is a list with:
param |
The vector of parameters' estimates. |
varcov |
The matrix of the variance-covariance of the estimates. |
stderr |
The vector of the standard errors. |
Simone Padoan, simone.padoan@unibocconi.it, http://faculty.unibocconi.it/simonepadoan; Moreno Bevilacqua, moreno.bevilacqua@uv.cl, https://sites.google.com/a/uv.cl/moreno-bevilacqua/home.
de Haan, L. and Ferreira, A. (2006) Extreme Value Theory An Introduction. Springer Verlang, New York.
Smith, R. L. (1985) Maximum likelihood estimation in a class of non-regular cases. Biometrika, 72, 67–90.
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