parcov.fevd | R Documentation |
Try to calculate the parameter covariance for an extreme value distribution (EVD) fitted using MLE.
parcov.fevd(x)
x |
A list object of class “fevd” as returned by |
Makes possibly two calls to optimHess
in an effort to find the parameter covariance matrix for fitted EVDs where MLE is used. The first attempt uses the actual gradient of the negative log-likelihood. If this fails, or the Hessian matrix cannot be inverted, or there are any negative values along the diagonal in the inverted Hessian, then a second attempt is made using finite differences. See Coles (2001) sec. 2.6.4 for more details.
An np by np matrix is returned where np is the number of parameters in the model.
Eric Gilleland
Coles, S. (2001) An introduction to statistical modeling of extreme values, London, U.K.: Springer-Verlag, 208 pp.
fevd
, summary.fevd
, print.fevd
z <- revd(100, loc=20, scale=0.5, shape=-0.2)
fit <- fevd(z)
fit
parcov.fevd(fit)
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