gpdProfShape: GPD Shape Parameter Profile Likelihood Estimation for...

In eva: Extreme Value Analysis with Goodness-of-Fit Testing

Description

Computes the profile likelihood based confidence interval for the shape parameter of the stationary Generalized Pareto model.

Usage

gpdProfShape(z, conf = 0.95, plot = TRUE)

Arguments

z	A class object returned from gpdFit.
conf	Confidence level to use. Defaults to 95 percent.
plot	Plot the profile likelihood and estimate (vertical line)?

Value

Estimate	Estimated shape parameter.
CI	Profile likelihood based confidence interval for the shape parameter.
ConfLevel	The confidence level used.

Examples

x <- rgpd(200, loc = 0, scale = 1, shape = 0.25)
z <- gpdFit(x, threshold = 0)
gpdProfShape(z)

Example output

$Estimate
[1] 0.1924138

$CI
[1] 0.03734551 0.39364917

$ConfLevel
[1] 0.95

eva documentation built on Jan. 13, 2021, 8:34 p.m.