fit_GPD_unconditional: Maximum likelihood estimates for the GPD distribution using...

In EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting

Maximum likelihood estimates for the GPD distribution using peaks over threshold

Description

Maximum likelihood estimates for the GPD distribution using peaks over threshold

Usage

fit_GPD_unconditional(Y, interm_lvl = NULL, thresh_quantiles = NULL)

Arguments

Y	Vector of observations
interm_lvl	Probability level at which the empirical quantile should be used as the threshold, if thresh_quantiles is not given.
thresh_quantiles	Numerical value or numerical vector of the same length as Y representing either a fixed or a varying threshold, respectively.

Value

Named list containing:

scale	the GPD scale MLE,
shape	the GPD shape MLE,
fit	the fitted ismev::gpd.fit() object.

EQRN documentation built on April 4, 2025, 12:45 a.m.